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hurst.m
From: |
Przemek Klosowski |
Subject: |
hurst.m |
Date: |
Wed, 28 Sep 2005 16:26:08 -0400 (EDT) |
I ran into this problem with 'hurst':
hurst is the user-defined function from the file
/usr/share/octave/2.1.71/m/signal/hurst.m
-- Function File: hurst (X)
Estimate the Hurst parameter of sample X via the rescaled range
statistic. If X is a matrix, the parameter is estimated for every
single column.
but there's a problem with the matrix: I get this for "hurst(rand(5))"
error: operator -: nonconformant arguments (op1 is 5x5, op2 is 1x5)
I think it can be fixed by
*** hurst.m 2005-09-28 16:12:59.000000000 -0400
--- /usr/share/octave/2.1.71/m/signal/hurst.m 2005-08-03 15:54:46.000000000
-0400
***************
*** 42,48 ****
[xr, xc] = size (x);
s = std (x);
! w = cumsum (x - repmat(mean (x),xr,1));
RS = (max(w) - min(w)) ./ s;
H = log (RS) / log (xr);
--- 42,48 ----
[xr, xc] = size (x);
s = std (x);
! w = cumsum (x - mean (x));
RS = (max(w) - min(w)) ./ s;
H = log (RS) / log (xr);
because mean() sums column-wise, and I think the intent of hurst()
is to process the results column by column. Please have a look at this
and forward the patch to John if it's OK.
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