update packages

[CreaPhase.git] / octave_packages / m / signal / hurst.m

diff --git a/octave_packages/m/signal/hurst.m b/octave_packages/m/signal/hurst.m
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+## Copyright (C) 1995-2012 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 {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 <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