Table 8 Number of series for which the KS tests fail depending on the length of the series and \(\tau\)
From: Improvement in Hurst exponent estimation and its application to financial markets
DAYS | N Price Series | NUMBER OF SERIES FOR WHICH THE KS TEST FAILS | |||||||
|---|---|---|---|---|---|---|---|---|---|
\(\tau =2\) | \(\tau =4\) | \(\tau =8\) | \(\tau =16\) | \(\tau =32\) | \(\tau =64\) | \(\tau =128\) | \(\tau =256\) | ||
128 | 5 | 1 | 1 | 3 | – | – | – | – | – |
256 | 12 | 5 | 4 | 1 | 2 | – | – | – | – |
512 | 19 | 2 | 4 | 6 | 3 | 5 | – | – | – |
1024 | 23 | 1 | 6 | 7 | 4 | 3 | 5 | – | – |
2048 | 46 | 2 | 11 | 16 | 10 | 13 | 3 | 0 | – |
4096 | 71 | 11 | 9 | 19 | 22 | 20 | 4 | 2 | 1 |