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.
@article{arxiv.1311.2278,
title = {Performance of multifractal detrended fluctuation analysis on short time series},
author = {Juan Luis Lopez and Jesus Guillermo Contreras},
journal= {arXiv preprint arXiv:1311.2278},
year = {2013}
}