Band name Original scaling range
Rescaled range Blue [0, 47] [0, 12] [47, 116] [12, 138] [116, 255] [138, 255] Hybrid green [0, 38] [0, 13] (F = 0.
Residuals of this estimated fundamental time series are then tested for possible speculative deviations using a Hamilton regime switching test and a
rescaled range Hurst coefficient test, with a further test for nonlinearity beyond the ARCH effects using the BDS statistic.
In this study, we estimate the fractal dimension of price returns and test the Efficient Market Hypothesis (EMH), employing
rescaled range analysis in order to use fewer assumptions about the underlying system.
In the theory of chaotic systems different methods are used [5], among others such as: correlation dimension [15]; Kolmogorov entropy, Lapunov exponent, fractal dimension [13]; Brock-Dechert-Scheinkman's test,
rescaled range analysis [8,9,10,12].
n](t), were determined by five methods: the
rescaled range analysis (R/[sigma]), the roughness length (SD), the variogram (V), the power-spectrum (P), and the wavelet methods (W[X](a)).
Some studies (such as those by Peters, 1989; 1996) using classical
rescaled range (or R/S) analysis have found evidence of long-term memory.
Hurst (1951) developed the
rescaled range technique for time series analysis.
This work presents an application of
rescaled range analysis (R/S) to study the fractal properties of precipitation in Venezuela.
The
Rescaled Range (R/S) analysis is a powerful indicator of the persistence of a series where the influence of a set of past price changes on a set of future price changes is effectively captured.
Long memory in foreign exchange markets is examined for the post-Bretton Woods period using Lo's [1991] modified
rescaled range (R/S).
First proposed by Hurst (1951), the
rescaled range technique has been applied to numerous time series of natural phenomena such as river levels and tree growth rates to measure the level of randomness in a system over time.
