hurst.m

JAVA 数学程序库 提供常规的数值计算程序包

## Copyright (C) 1995, 1996, 1997  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 2, 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, write to the Free
## Software Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA
## 02110-1301, USA.

## -*- texinfo -*-
## @deftypefn {Function File} {} 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 single column.
## @end deftypefn

## Author: FL <[e-mail]>
## 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);
  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

/*
@GROUP
signal
@SYNTAX
hurst()
@DOC
.
@EXAMPLES
.
@NOTES
.
@SEE
*/