Using the R/S method to determine the periodicity of time series

Xin-An Yin, Xiao-Hua Yang and Zhi-Feng Yang

Chaos, Solitons & Fractals, 2009, vol. 39, issue 2, 731-745

Abstract: R/S method is widely used to estimate long-range dependence of a time series, but few papers do research on how to use the R/S method to determine the periodicity. In this paper, the log(h)-log((R/S)h) figures and the log(h)-Vh figures are further studied by lots of numeral simulations, which shows that the two figures of a periodic time series both have obviously similar structures. Based on these structures, a new method, similar figure method (SFM), is established to estimate whether a time series has periodicity and determine the length of the periodicity. SFM is tested with a disturbed nonlinear time series, an actual monthly runoff series and a random series. The results show that SFM is effective. This method is an extension to the R/S analysis.

Date: 2009
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:39:y:2009:i:2:p:731-745

DOI: 10.1016/j.chaos.2007.01.085

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