RS function

RS rescaled adjusted range statistic

RS(x, k)

Arguments

• x: univariate time series
• k: length of the segments for which the statistic is computed. Starting with t=1, the segments do not overlap.

Returns

(l,3)-matrix, 1. column: k, second column: starting time of segment, third column: value of RS statistic.

Examples

data(TREMOR)
 R <- RS(TREMOR,10)