Mercurial > octave
view scripts/signal/hurst.m @ 29359:7854d5752dd2
maint: merge stable to default.
author | John W. Eaton <jwe@octave.org> |
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date | Wed, 10 Feb 2021 10:10:40 -0500 |
parents | de5f2f9a64ff 0a5b15007766 |
children | 796f54d4ddbf |
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######################################################################## ## ## Copyright (C) 1995-2021 The Octave Project Developers ## ## See the file COPYRIGHT.md in the top-level directory of this ## distribution or <https://octave.org/copyright/>. ## ## 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 ## <https://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 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