--- /dev/null	Thu Jan 01 00:00:00 1970 +0000
+++ b/scripts/signal/hurst.m	Fri Oct 23 05:44:01 1998 +0000
@@ -0,0 +1,45 @@
+## 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