How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study

► Bias and efficiency of R/S and M-R/S analyzed for various distributions. ► Eight distributions with independence, SRD and LRD are investigated. ► Both estimators are quite robust to distributional properties for i.i.d. series. ►R/S is biased upwards (yet not strongly) for SRD processes. ►M-R/S is strongly biased downwards for LRD processes for all distributions.