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########################################################################
##
## Copyright (C) 1995-2024 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 {} {@var{H} =} 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 = x(:); # always use column vector
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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