Mercurial > hg > octave-lyh

annotate scripts/signal/hurst.m @ 3191:e4f4b2d26ee9

Find changesets by keywords (author, files, the commit message), revision number or hash, or revset expression.
[project @ 1998-10-23 05:43:59 by jwe]
author jwe
date Fri, 23 Oct 1998 05:44:01 +0000
parents
children 041ea33fbbf4
Ignore whitespace changes - Everywhere: Within whitespace: At end of lines:
rev   line source
3191
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
1 ## Copyright (C) 1995, 1996, 1997 Friedrich Leisch
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
2 ##
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
3 ## This program is free software; you can redistribute it and/or modify
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
4 ## it under the terms of the GNU General Public License as published by
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
5 ## the Free Software Foundation; either version 2, or (at your option)
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
6 ## any later version.
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
7 ##
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
8 ## This program is distributed in the hope that it will be useful, but
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
9 ## WITHOUT ANY WARRANTY; without even the implied warranty of
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
10 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
11 ## General Public License for more details.
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
12 ##
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
13 ## You should have received a copy of the GNU General Public License
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
14 ## along with this file. If not, write to the Free Software Foundation,
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
15 ## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA.
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
16
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
17 ## usage: H = hurst (x)
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
18 ##
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
19 ## Estimates the Hurst parameter of sample x via the rescaled range
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
20 ## statistic. If x is a matrix, the parameter is estimated for every
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
21 ## single column.
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
22
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
23 ## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at>
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
24 ## Description: Estimate the Hurst parameter
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
25
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
26 function H = hurst (x)
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
27
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
28 if (nargin != 1)
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
29 usage ("hurst (x)");
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
30 endif
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
31
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
32 if (is_scalar (x))
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
33 error ("hurst: x must not be a scalar")
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
34 elseif is_vector (x)
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
35 x = reshape (x, length (x), 1);
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
36 end
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
37
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
38 [xr xc] = size (x);
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
39
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
40 s = std (x);
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
41 w = cumsum (x - mean (x));
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
42 RS = (max(w) - min(w)) ./ s;
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
43 H = log (RS) / log (xr);
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
44
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
45 endfunction