Comparison of performance between rescaled range analysis and rescaled variance analysis in detecting abrupt dynamic change*
He Wen-Pinga)†, Liu Qun-Qunb), Jiang Yun-Dia), Lu Yingc)
       
MC-R/S and MC-V/S results for artificial time series and variance contributions of Hurst exponents. The results of (a) MC-R/S and (b) MC-V/S under different window scales, including M = 2, 5, 10, 15, and 30; variance contributions for detection results using MC-R/S (denoted by empty circles) and MC-V/S (denoted by solid circles), with window sizes M = 2 (c), 5 (d), 10 (e), and 15 (f). The dashed line represents the tripled average variance contribution of the Hurst exponent series.