Rescaled range analysis for short time series
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I am doing the rescaled range analysis on a short time series of observations. The series has just 20 observations. If I separate the series into groups of 2, 4 and 8, I find an issue doing the latter (8). I can only get two groups of 8: 1 to 8, 9 to 16. And the remaining group has just 4 elements. When I am calculating the R/S value for the ranges in each set of group and I reach the last set, which is groups of 8, is it OK for me to calculate the R/S value for the two groups of 8 as ranges and the remaining elements(4) as a range? i will eventually want to use this to workout my Hurst exponent.
statistics
asked Nov 25 '18 at 3:37
megatr0nmegatr0n
124116
add a comment |
I am doing the rescaled range analysis on a short time series of observations. The series has just 20 observations. If I separate the series into groups of 2, 4 and 8, I find an issue doing the latter (8). I can only get two groups of 8: 1 to 8, 9 to 16. And the remaining group has just 4 elements. When I am calculating the R/S value for the ranges in each set of group and I reach the last set, which is groups of 8, is it OK for me to calculate the R/S value for the two groups of 8 as ranges and the remaining elements(4) as a range? i will eventually want to use this to workout my Hurst exponent.
statistics
asked Nov 25 '18 at 3:37
megatr0nmegatr0n
124116
add a comment |
I am doing the rescaled range analysis on a short time series of observations. The series has just 20 observations. If I separate the series into groups of 2, 4 and 8, I find an issue doing the latter (8). I can only get two groups of 8: 1 to 8, 9 to 16. And the remaining group has just 4 elements. When I am calculating the R/S value for the ranges in each set of group and I reach the last set, which is groups of 8, is it OK for me to calculate the R/S value for the two groups of 8 as ranges and the remaining elements(4) as a range? i will eventually want to use this to workout my Hurst exponent.
statistics
asked Nov 25 '18 at 3:37
megatr0nmegatr0n
124116
I am doing the rescaled range analysis on a short time series of observations. The series has just 20 observations. If I separate the series into groups of 2, 4 and 8, I find an issue doing the latter (8). I can only get two groups of 8: 1 to 8, 9 to 16. And the remaining group has just 4 elements. When I am calculating the R/S value for the ranges in each set of group and I reach the last set, which is groups of 8, is it OK for me to calculate the R/S value for the two groups of 8 as ranges and the remaining elements(4) as a range? i will eventually want to use this to workout my Hurst exponent.
statistics
statistics
asked Nov 25 '18 at 3:37
megatr0nmegatr0n
124116
asked Nov 25 '18 at 3:37
megatr0nmegatr0n
124116
asked Nov 25 '18 at 3:37
megatr0nmegatr0n
124116
asked Nov 25 '18 at 3:37
megatr0nmegatr0n
124116
asked Nov 25 '18 at 3:37
megatr0nmegatr0n
124116
124116
add a comment |
add a comment |
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