Mercurial > octave-nkf
annotate scripts/signal/hurst.m @ 14138:72c96de7a403 stable
maint: update copyright notices for 2012
| author | John W. Eaton <jwe@octave.org> |
|---|---|
| date | Mon, 02 Jan 2012 14:25:41 -0500 |
| parents | fd0a3ac60b0e |
| children | 5d3a684236b0 |
| rev | line source |
|---|---|
|
14138
72c96de7a403
maint: update copyright notices for 2012
John W. Eaton <jwe@octave.org>
parents:
11523
diff
changeset
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1 ## Copyright (C) 1995-2012 Friedrich Leisch |
| 3426 | 2 ## |
| 3922 | 3 ## This file is part of Octave. |
| 4 ## | |
| 5 ## Octave is free software; you can redistribute it and/or modify it | |
| 6 ## under the terms of the GNU General Public License as published by | |
| 7016 | 7 ## the Free Software Foundation; either version 3 of the License, or (at |
| 8 ## your option) any later version. | |
| 3426 | 9 ## |
| 3922 | 10 ## Octave is distributed in the hope that it will be useful, but |
| 3191 | 11 ## WITHOUT ANY WARRANTY; without even the implied warranty of |
| 12 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU | |
| 3426 | 13 ## General Public License for more details. |
| 14 ## | |
| 3191 | 15 ## You should have received a copy of the GNU General Public License |
| 7016 | 16 ## along with Octave; see the file COPYING. If not, see |
| 17 ## <http://www.gnu.org/licenses/>. | |
| 3191 | 18 |
| 3449 | 19 ## -*- texinfo -*- |
| 20 ## @deftypefn {Function File} {} hurst (@var{x}) | |
| 21 ## Estimate the Hurst parameter of sample @var{x} via the rescaled range | |
| 22 ## statistic. If @var{x} is a matrix, the parameter is estimated for | |
| 23 ## every single column. | |
| 24 ## @end deftypefn | |
| 3191 | 25 |
| 3457 | 26 ## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at> |
| 27 ## Description: Estimate the Hurst parameter | |
| 3426 | 28 |
| 3191 | 29 function H = hurst (x) |
| 30 | |
| 31 if (nargin != 1) | |
| 6046 | 32 print_usage (); |
| 3191 | 33 endif |
| 34 | |
| 4030 | 35 if (isscalar (x)) |
|
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Use uppercase for variable names in error() strings to match Info documentation. Only m-files done.
Rik <octave@nomad.inbox5.com>
parents:
8920
diff
changeset
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36 error ("hurst: X must not be a scalar"); |
| 4030 | 37 elseif (isvector (x)) |
| 3191 | 38 x = reshape (x, length (x), 1); |
| 7151 | 39 endif |
| 3426 | 40 |
| 3238 | 41 [xr, xc] = size (x); |
| 3191 | 42 |
| 43 s = std (x); | |
| 44 w = cumsum (x - mean (x)); | |
| 45 RS = (max(w) - min(w)) ./ s; | |
| 46 H = log (RS) / log (xr); | |
| 3426 | 47 |
| 3191 | 48 endfunction |