home
***
CD-ROM
|
disk
|
FTP
|
other
***
search
/
OS/2 Shareware BBS: 10 Tools
/
10-Tools.zip
/
octa21fb.zip
/
octave
/
SCRIPTS.ZIP
/
scripts
/
signal
/
hurst.m
< prev
next >
Wrap
Text File
|
1999-03-26
|
1KB
|
46 lines
## Copyright (C) 1995, 1996, 1997 Friedrich Leisch
##
## This program is free software; you can redistribute it and/or modify
## it under the terms of the GNU General Public License as published by
## the Free Software Foundation; either version 2, or (at your option)
## any later version.
##
## This program is distributed in the hope that it will be useful, but
## WITHOUT ANY WARRANTY; without even the implied warranty of
## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
## General Public License for more details.
##
## You should have received a copy of the GNU General Public License
## along with this file. If not, write to the Free Software Foundation,
## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA.
## usage: H = hurst (x)
##
## Estimates the Hurst parameter of sample x via the rescaled range
## statistic. If x is a matrix, the parameter is estimated for every
## single column.
## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at>
## Description: Estimate the Hurst parameter
function H = hurst (x)
if (nargin != 1)
usage ("hurst (x)");
endif
if (is_scalar (x))
error ("hurst: x must not be a scalar")
elseif is_vector (x)
x = reshape (x, length (x), 1);
end
[xr, xc] = size (x);
s = std (x);
w = cumsum (x - mean (x));
RS = (max(w) - min(w)) ./ s;
H = log (RS) / log (xr);
endfunction