(1996) in a study of 22 international stock markets, which includes the French, Dutch and Belgian markets, and in which the modified rescaled range analysis of Lo (1991) and the rescaled variance ratio test of Lo & MacKinlay (1988) are employed to monthly returns from 1962 to 1990.
Rescaled range analysis and detrended fluctuation analysis: finite sample properties and confidence intervals.
It is called the rescaled range analysis
. The estimate of the Hurst exponent (H) takes on a value between 0 and 1.
The method of the rescaled range analysis
can be employed to predict the future direction of parameter change, which indicates the trend of urban evolution.
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.
A variation at around 1990 is then corroborated by wavelet variance analysis, which is used to detect changes in runoff periodicity [18-22], Kendall's rank test (a nonparametric method for detecting or testing trends), and rescaled range analysis
(a nonlinear technique for evaluating the persistence of apparent trends), which are widely used in hydrology (e.g., [23-28]).
One of the estimators worth mentioning is the celebrated rescaled range analysis
(R/S analysis) since it is very popular among researchers until today.
In the theory of chaotic systems different methods are used , among others such as: correlation dimension ; Kolmogorov entropy, Lapunov exponent, fractal dimension ; Brock-Dechert-Scheinkman's test, rescaled range analysis
The work presented in this paper was conducted to compare the suitability of statistical, mutual information function, spectral and Hurst's Rescaled Range analysis
for discrimination of flow regime transitions in a semi-cylindrical gas-solid spouted bed.
This work presents an application of rescaled range analysis
(R/S) to study the fractal properties of precipitation in Venezuela.