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Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence
Author(s) -
Mandelbrot Benoit B.,
Wallis James R.
Publication year - 1969
Publication title -
water resources research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.863
H-Index - 217
eISSN - 1944-7973
pISSN - 0043-1397
DOI - 10.1029/wr005i005p00967
Subject(s) - kurtosis , statistic , skewness , robustness (evolution) , range (aeronautics) , statistics , mathematics , statistical physics , gaussian , physics , engineering , chemistry , biochemistry , gene , aerospace engineering , quantum mechanics
The rescaled range R(t, s) / S(t, s) is shown by extensive computer simulation to be a very robust statistic for testing the presence of noncyclic long run statistical dependence in records and, in cases where such dependence is present, for estimating its intensity. The processes examined in this paper extend to extraordinarily non‐Gaussian processes with huge skewness and/or kurtosis (that is, third and/or fourth moments).