Ellis, Craig - In: Physica A: Statistical Mechanics and its Applications 375 (2007) 1, pp. 159-173
The classical rescaled adjusted range (R/S) statistic is a popular and robust tool for identifying fractal structures and long-term dependence in time-series data. Subsequent to Mandelbrot and Wallis [Water Resour. Res. 4 (1968) 909] who proposed the statistic be measured over several subseries...