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Rescaled Range (R or S) Analysis
The analysis developed by H.E. Hurst to determine long-memory effects and
fractional Brownian
motion. Rescaled range analysis measures how the distance covered by a particle
increases as we look at longer and longer time scales. For Brownian motion, the distance
covered increases with the square root of time. A series which increases at a different rate is not random.
See: fractional Brownian
motion, Fractional Brownian Motion,
fractional Brownian
motion, Persistence, Joseph Effect, Noah Effect.
Rescaled Range (R or S) Analysis
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