Rescaled range analysis is a means of characterizing a time series or a one-dimensional (1-D) spatial signal that provides simultaneously a measure of variance and of the long-term correlation or "memory," The trend-corrected method is based on the statistical self-similarity in the signal: in the standard approach one measures the ratio R/S on the range R of the sum of the deviations from the local mean divided by the standard deviation S from the mean. For fractal signals R/S is a power law function of the length tau of each segment of the set of segments into which the data set has been divided. Over a wide range of tau's the relationship is: R/S = a tau H, where kappa is a scalar and the H is the Hurst exponent. (For a 1-D signal f(t), the exponent H = 2 - D, with D being the fractal dimension.) The method has been tested extensively on fractional Brownian signals of known H to determine its accuracy, bias, and limitations. R/S tends to give biased estimates of H, too low for H > 0.72, and too high for H < 0.72. Hurst analysis without trend correction differs by finding the range R of accumulation of differences from the global mean over the total period of data accumulation, rather than from the mean over each tau. The trend-corrected method gives better estimates of H on Brownian fractal signals of known H when H > or = 0.5, that is, for signals with positive correlations between neighboring elements. Rescaled range analysis has poor convergence properties, requiring about 2,000 points for 5% accuracy and 200 for 10% accuracy. Empirical corrections to the estimates of H can be made by graphical interpolation to remove bias in the estimates. Hurst's 1951 conclusion that many natural phenomena exhibit not random but correlated time series is strongly affirmed.