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What is Rescaled Range R/S Analysis?

Definition of Rescaled Range R/S Analysis

The analysis developed by H.E. Hurst to determine long-memory effects andfractional Brownianmotion. Rescaled range analysis measures how the distance covered by a particleincreases as we look at longer and longer time scales. For Brownian motion, the distancecovered increases with the square root of time. A series which increases at a different rate is not random.See: Anti-persistence, Fractional Brownian Motion,Hurst Exponent, Persistence, Joseph Effect, Noah Effect.
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