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- Rescaled_range abstract "The rescaled range is a statistical measure of the variability of a time series introduced by the British hydrologist Harold Edwin Hurst (1880–1978). Its purpose is to provide an assessment of how the apparent variability of a series changes with the length of the time-period being considered.The rescaled range is calculated from dividing the range of the values exhibited in a portion of the time series by the standard deviation of the values over the same portion of the time series. For example, consider a time series {2, 5, 3, 7, 8, 12, 4, 2} which has a range, R, of 12 - 2 = 10. Its standard deviation, s, is 3.46, so the rescaled range is R/s = 2.71.If we consider the same time series, but increase the number of observations of it, the rescaled range will generally also increase. The increase of the rescaled range can be characterized by making a plot of the logarithm of R/s vs. the logarithm of n. The slope of this line gives the Hurst exponent, H. If the time series is generated by a random walk (or a Brownian motion process) it has the value of H =1/2. Many physical phenomena that have a long time series suitable for analysis exhibit a Hurst exponent greater than 1/2. For example, observations of the height of the Nile River measured annually over many years gives a value of H = 0.77.Several researchers (including Peters, 1991) have found that the prices of many financial instruments (such as currency exchange rates, stock values, etc.) also have H > 1/2. This means that they have a behavior that is distinct from a random walk, and therefore the time series is not generated by a stochastic process that has the nth value independent of all of the values before this. This is referred to as long memory. However this result is controversial and several studies using Lo's modified rescaled range statistic have contradicted Peters' results.".
- Rescaled_range wikiPageExternalLink 3249684.html.
- Rescaled_range wikiPageID "10625394".
- Rescaled_range wikiPageRevisionID "599698039".
- Rescaled_range hasPhotoCollection Rescaled_range.
- Rescaled_range subject Category:Long-memory_processes.
- Rescaled_range subject Category:Statistical_dependence.
- Rescaled_range subject Category:Statistical_deviation_and_dispersion.
- Rescaled_range subject Category:Statistical_ratios.
- Rescaled_range type Abstraction100002137.
- Rescaled_range type Act100030358.
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- Rescaled_range type Event100029378.
- Rescaled_range type Long-memoryProcesses.
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- Rescaled_range type PsychologicalFeature100023100.
- Rescaled_range type Ratio113819207.
- Rescaled_range type Relation100031921.
- Rescaled_range type StatisticalRatios.
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- Rescaled_range comment "The rescaled range is a statistical measure of the variability of a time series introduced by the British hydrologist Harold Edwin Hurst (1880–1978). Its purpose is to provide an assessment of how the apparent variability of a series changes with the length of the time-period being considered.The rescaled range is calculated from dividing the range of the values exhibited in a portion of the time series by the standard deviation of the values over the same portion of the time series.".
- Rescaled_range label "Rescaled range".
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- Rescaled_range sameAs Q7314942.
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- Rescaled_range wasDerivedFrom Rescaled_range?oldid=599698039.
- Rescaled_range isPrimaryTopicOf Rescaled_range.