Rescaled range analysis and its asymptotic distribution.


Modeling hydrologic processes. Proc. Fort Collins 3rd international hydrology symposium, July 1978, pp.181-191, 1979 (Scopus) identifier


The main objective of this paper is to present analytical expressions of expected rescaled range, E(R/S), for various currently used stochastic processes in hydrology and then to incorporate them in an analytical procedure, in order to show wether the process considered is long-term persistent or not. In this way, the normal independant process, lag-one Markov process and the ARIMA (1, 0, 1) process have been analytically proven to be short-term persistent processes characterized by the Hurst coefficient, h, equal to 0.5. The asymptotic probability distribution function of the rescaled range has been derived. - Author