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1 ## Copyright (C) 1995, 1996, 1997, 1998, 1999, 2000, 2002, 2005, 2006, |
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2 ## 2007, 2009 Friedrich Leisch |
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3 ## |
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4 ## This file is part of Octave. |
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5 ## |
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6 ## Octave is free software; you can redistribute it and/or modify it |
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7 ## under the terms of the GNU General Public License as published by |
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8 ## the Free Software Foundation; either version 3 of the License, or (at |
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9 ## your option) any later version. |
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10 ## |
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11 ## Octave is distributed in the hope that it will be useful, but |
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12 ## WITHOUT ANY WARRANTY; without even the implied warranty of |
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13 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU |
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14 ## General Public License for more details. |
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15 ## |
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16 ## You should have received a copy of the GNU General Public License |
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17 ## along with Octave; see the file COPYING. If not, see |
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18 ## <http://www.gnu.org/licenses/>. |
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19 |
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20 ## -*- texinfo -*- |
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21 ## @deftypefn {Function File} {} hurst (@var{x}) |
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22 ## Estimate the Hurst parameter of sample @var{x} via the rescaled range |
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23 ## statistic. If @var{x} is a matrix, the parameter is estimated for |
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24 ## every single column. |
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25 ## @end deftypefn |
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26 |
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27 ## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at> |
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28 ## Description: Estimate the Hurst parameter |
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29 |
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30 function H = hurst (x) |
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31 |
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32 if (nargin != 1) |
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33 print_usage (); |
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34 endif |
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35 |
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36 if (isscalar (x)) |
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37 error ("hurst: x must not be a scalar"); |
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38 elseif (isvector (x)) |
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39 x = reshape (x, length (x), 1); |
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40 endif |
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41 |
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42 [xr, xc] = size (x); |
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43 |
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44 s = std (x); |
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45 w = cumsum (x - mean (x)); |
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46 RS = (max(w) - min(w)) ./ s; |
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47 H = log (RS) / log (xr); |
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48 |
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49 endfunction |
