R/S statistics
Purpose
Description
Tips
Macro Synopsis
Modules
Related Functions
References
Purpose
R/S Statistics
Description
"R/S statistics", also called rescaling analysis, yields information about the
long term correlation of a (fractal) time series. The R/S statistics Q(d)
is calculated as the "self-rescaling self-adjusted range''
as a function of the delay d, where
and
and
Tips
If the R/S statistics behaves like 
the time series is
said to have the Hurst exponent H. This fact is used in the macro program
HurstExp.dpm.
Macro Synopsis
y = RSstat(x);
signal x,y;
Modules
Statistics
Related Functions
Fractal noise, Box-Cox transform,
Detrended fluctuation analysis (DFA), Exponential regression, Linear regression,
Long term correlation analysis (LTCA), Multilinear regression, Power regression,
Principal component analysis (PCA), Remove DC, Remove trend
References
See Mandelbrot [30] for further reading.