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1 ## Copyright (C) 1995, 1996, 1997 Friedrich Leisch |
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2 ## |
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3 ## This program is free software; you can redistribute it and/or modify |
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4 ## it under the terms of the GNU General Public License as published by |
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5 ## the Free Software Foundation; either version 2, or (at your option) |
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6 ## any later version. |
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7 ## |
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8 ## This program is distributed in the hope that it will be useful, but |
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9 ## WITHOUT ANY WARRANTY; without even the implied warranty of |
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10 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU |
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11 ## General Public License for more details. |
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12 ## |
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13 ## You should have received a copy of the GNU General Public License |
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14 ## along with this file. If not, write to the Free Software Foundation, |
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15 ## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA. |
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16 |
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17 ## -*- texinfo -*- |
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18 ## @deftypefn {Function File} {} hurst (@var{x}) |
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19 ## Estimate the Hurst parameter of sample @var{x} via the rescaled range |
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20 ## statistic. If @var{x} is a matrix, the parameter is estimated for |
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21 ## every single column. |
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22 ## @end deftypefn |
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23 |
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24 ## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at> |
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25 ## Description: Estimate the Hurst parameter |
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26 |
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27 function H = hurst (x) |
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28 |
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29 if (nargin != 1) |
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30 usage ("hurst (x)"); |
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31 endif |
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32 |
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33 if (is_scalar (x)) |
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34 error ("hurst: x must not be a scalar") |
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35 elseif is_vector (x) |
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36 x = reshape (x, length (x), 1); |
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37 end |
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38 |
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39 [xr, xc] = size (x); |
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40 |
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41 s = std (x); |
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42 w = cumsum (x - mean (x)); |
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43 RS = (max(w) - min(w)) ./ s; |
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44 H = log (RS) / log (xr); |
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45 |
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46 endfunction |
