TY - JOUR
T1 - The mahalanobis distance between the hurst coefficient and the Alpha-Stable parameter
T2 - An early warning indicator of crises
AU - Rodríguez-Aguilar, Roman
AU - Cruz-Aké, Salvador
AU - Venegas-Martínez, Yazmín Francisco
N1 - Publisher Copyright:
© 2016 Academic Publications, Ltd.
PY - 2016
Y1 - 2016
N2 - The Hurst coefficient and the alpha-stable parameter are useful indicators in the analysis of time series to detect normality and absence of self-similarity. In particular, when these two features met simultaneously the series is driven by white noise. This paper is aimed at developing an index to measure the degree to which a time series departs from white noise. The proposed index is built by using the principal component analysis of the Mahalanobis distances between the Hurst coefficient and the alpha-stable parameter from theoretical values of normality and absence of self-similarity. The proposed index is applied to examine the Mexican Peso exchange rate against the US Dollar. The distinctive characteristic of the index is that it can be used as an early warning indicator of crises, as it is shown for the Mexican case.
AB - The Hurst coefficient and the alpha-stable parameter are useful indicators in the analysis of time series to detect normality and absence of self-similarity. In particular, when these two features met simultaneously the series is driven by white noise. This paper is aimed at developing an index to measure the degree to which a time series departs from white noise. The proposed index is built by using the principal component analysis of the Mahalanobis distances between the Hurst coefficient and the alpha-stable parameter from theoretical values of normality and absence of self-similarity. The proposed index is applied to examine the Mexican Peso exchange rate against the US Dollar. The distinctive characteristic of the index is that it can be used as an early warning indicator of crises, as it is shown for the Mexican case.
KW - Alpha-stable distributions
KW - Early warning indicator
KW - Fractional Brownian motion
KW - Heavy tails
KW - Hurst coefficient
KW - Self-similarity
UR - http://www.scopus.com/inward/record.url?scp=84995593456&partnerID=8YFLogxK
U2 - 10.12732/ijpam.v110i2.5
DO - 10.12732/ijpam.v110i2.5
M3 - Artículo
SN - 1311-8080
VL - 110
SP - 283
EP - 310
JO - International Journal of Pure and Applied Mathematics
JF - International Journal of Pure and Applied Mathematics
IS - 2
ER -