## modified R/S Statistic

Questions and discussions on Time Series Analysis

### modified R/S Statistic

Hi,
I have a little problem for computing modified R/S Statistic.
To estimate the Hurst exponent by the modified R/S Statistic (proposed by Lo), I am trying to use RSStatistic synthax. But, when I write, for exemple, “@ RSSTatistic (lags = m) returnseries start end”, I get no output unlike the synthax “@hurst returnseries” with which I get directly the Hurst and d exponents. How can I compute the Hurst exponent by the modified R / S? Where I make an error?
ba79B

Posts: 5
Joined: Wed Jun 17, 2009 9:18 am

### Re: modified R/S Statistic

The RSStatistic procedure doesn't produce any output since you usually do quite a few of them (varying the range or the window width) and produce some type of sensitivity table. The value of the R/S statistic is put into the %CDSTAT variable. The Willinger, Taqqu and Teverovsky replication file has an example using it.
TomDoan

Posts: 7236
Joined: Wed Nov 01, 2006 5:36 pm

### Re: modified R/S Statistic

TomDoan wrote:The RSStatistic procedure doesn't produce any output since you usually do quite a few of them (varying the range or the window width) and produce some type of sensitivity table. The value of the R/S statistic is put into the %CDSTAT variable. The Willinger, Taqqu and Teverovsky replication file has an example using it.

Is their 1999 paper that you advise me?
In fact, when I write "@ RSStatistic (lags = k) Rt 1 5300" (I compute in advance the lags k by the formula of Andrews (1991)), and I write "tables", I get the statistics of my variable Rt and then variables "DX" and "SUMDX. Which is the value of the modified R / S? I do not know exactly how I have to write on the syntax on RATS for the modified R / S statistic. Can you please help me?
Thanks.
ba79B

Posts: 5
Joined: Wed Jun 17, 2009 9:18 am

### Re: modified R/S Statistic

%CDSTAT is a scalar, so you use DISPLAY:

Code: Select all
`@RSStatistic(lags=k) Rt 1 5300disp "R/S Statistic" %cdstat`
TomDoan

Posts: 7236
Joined: Wed Nov 01, 2006 5:36 pm

### Re: modified R/S Statistic

TomDoan wrote:%CDSTAT is a scalar, so you use DISPLAY:

Code: Select all
`@RSStatistic(lags=k) Rt 1 5300disp "R/S Statistic" %cdstat`

ba79B

Posts: 5
Joined: Wed Jun 17, 2009 9:18 am

### Re: modified R/S Statistic

Hi
i am using the source code HURST for estimating hurst exponent. i want to calculate V-statistics. please advise if it is possible using the same source file.
ritesh

Posts: 1
Joined: Fri Aug 20, 2010 7:17 am

### Re: modified R/S Statistic

ritesh wrote:Hi
i am using the source code HURST for estimating hurst exponent. i want to calculate V-statistics. please advise if it is possible using the same source file.

Just to understand what you're asking, instead or (or in addition to) the log obs vs log R/S graph, you want the same thing but with Lo's modified statistic? If you just want to calculate that for the full data set, you can use the RSStatistic procedure. What the Hurst procedure computes are the R/S statistics for many different subsample sizes, and for each possible subsample of each size.
TomDoan

Posts: 7236
Joined: Wed Nov 01, 2006 5:36 pm 