Table 9 Number of series for which any KS test fails and the total number of series with the indicated H
From: Improvement in Hurst exponent estimation and its application to financial markets
DAYS | H ESTIMATED | N SERIES KS TEST FAILS | N SERIES | PERCENTAGE (%) |
|---|---|---|---|---|
128 | \(0<H\le 0.5\) | 3 | 342 | 0.88 |
\(0.5<H<1\) | 2 | 170 | 1.18 | |
256 | \(0<H\le 0.5\) | 10 | 314 | 3.18 |
\(0.5<H<1\) | 2 | 189 | 1.06 | |
512 | \(0<H\le 0.5\) | 9 | 201 | 4.48 |
\(0.5<H<1\) | 10 | 300 | 3.33 | |
1024 | \(0<H\le 0.5\) | 15 | 175 | 8.57 |
\(0.5<H<1\) | 8 | 321 | 2.49 | |
2048 | \(0<H\le 0.5\) | 40 | 257 | 15.56 |
\(0.5<H<1\) | 9 | 216 | 4.17 | |
4096 | \(0<H\le 0.5\) | 60 | 271 | 22.14 |
\(0.5<H<1\) | 11 | 140 | 7.14 |