Mercurial > octave
view scripts/signal/hurst.m @ 23220:092078913d54
maint: Merge stable to default.
author | John W. Eaton <jwe@octave.org> |
---|---|
date | Wed, 22 Feb 2017 12:58:07 -0500 |
parents | ef4d915df748 3ac9f9ecfae5 |
children | 194eb4bd202b |
line wrap: on
line source
## Copyright (C) 1995-2017 Friedrich Leisch ## ## This file is part of Octave. ## ## Octave 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 3 of the License, or ## (at your option) any later version. ## ## Octave 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 Octave; see the file COPYING. If not, see ## <http://www.gnu.org/licenses/>. ## -*- texinfo -*- ## @deftypefn {} {} hurst (@var{x}) ## Estimate the Hurst parameter of sample @var{x} via the rescaled range ## statistic. ## ## If @var{x} is a matrix, the parameter is estimated for every column. ## @end deftypefn ## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at> ## Description: Estimate the Hurst parameter function H = hurst (x) if (nargin != 1) print_usage (); endif if (isscalar (x)) error ("hurst: X must not be a scalar"); elseif (isvector (x)) x = reshape (x, length (x), 1); endif [xr, xc] = size (x); s = std (x); w = cumsum (x - mean (x)); RS = (max (w) - min (w)) ./ s; H = log (RS) / log (xr); endfunction