## 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.