title: Performance of multifractal detrended fluctuation analysis on short time series.
abstract: The performance of the multifractal detrended analysis on short time series is evaluated for synthetic samples of several mono- and multifractal models. The reconstruction of the generalized Hurst exponents is used to determine the range of applicability of the method and the precision of its results as a function of the decreasing length of the series. As an application the series of the daily exchange rate between the U.S. dollar and the euro is studied.
authors.affiliation: Departamento de Física Aplicada, Centro de Investigación y de Estudios Avanzados del Instituto Politécnico Nacional, Unidad Mérida, A.P. 73 Cordemex, 97310 Mérida, Yucatán, México.
authors.forename: Juan Luis
authors.initials: JL
authors.lastname: López
authors.forename: Jesús Guillermo
authors.initials: JG
authors.lastname: Contreras
mesh_terms: D000465:Algorithms; D003198:Computer Simulation; D017709:Fractals; D015233:Models, Statistical