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Rescaled Range (R-S) Analysis

Definition: [crh] The analysis developed by H.E. Hurst to determine long-memory effects and fractional Brownian motion. Rescaled range analysis measures how the distance covered by a particle increases as we look at longer and longer time scales. For Brownian motion, the distance covered increasDefinition: es 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 EffDefinition: ect.

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