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## Copyright (C) 1995-2013 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
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