Bootstrapping the Small Sample Critical Values of the Rescaled Range Statistic

Abstract

Finite sample critical values of the rescaled range or R/S statistic may be obtained by bootstrapping. The empirical size and power performance of these critical values is good. Using the post blackened, moving block bootstrap helps to replicate the time dependencies in the original data. The Monte Carlo results show that the asymptotic critical values in Lo (1991) should not be used.