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annotate scripts/signal/hurst.m @ 3238:041ea33fbbf4

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[project @ 1999-03-26 17:48:16 by jwe]
author jwe
date Fri, 26 Mar 1999 17:48:35 +0000
parents e4f4b2d26ee9
children f8dde1807dee
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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 ## usage: H = hurst (x)
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18 ##
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19 ## Estimates the Hurst parameter of sample x via the rescaled range
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20 ## statistic. If x is a matrix, the parameter is estimated for every
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21 ## single column.
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22
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23 ## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at>
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24 ## Description: Estimate the Hurst parameter
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25
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26 function H = hurst (x)
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27
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28 if (nargin != 1)
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29 usage ("hurst (x)");
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30 endif
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31
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32 if (is_scalar (x))
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33 error ("hurst: x must not be a scalar")
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34 elseif is_vector (x)
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35 x = reshape (x, length (x), 1);
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36 end
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37
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38 [xr, xc] = size (x);
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39
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40 s = std (x);
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41 w = cumsum (x - mean (x));
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42 RS = (max(w) - min(w)) ./ s;
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43 H = log (RS) / log (xr);
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44
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45 endfunction