Implement hurst.sci in Scilab

1 files changed, 45 insertions, 19 deletions

diff --git a/macros/hurst.sci b/macros/hurst.sci
index 27507fb..bd48ee7 100644
--- a/macros/hurst.sci
+++ b/macros/hurst.sci
@@ -1,21 +1,47 @@
-function y = hurst(x)
-//  Estimate the Hurst parameter of sample X via the rescaled r statistic.
-//Calling Sequence
-//hurst(X)
-//variable=hurst(X)
-//Parameters 
-//X: X is a matrix, the parameter of sample X via the rescaled r statistic
-//Description
-//This is an Octave function.
-//This function estimates the Hurst parameter of sample X via the rescaled rstatistic.
-funcprot(0);
-rhs= argn(2);
-if(rhs<1 | rhs>1)
-	error("Wrong number of input arguments");
-end
+function H = hurst(x)
+//Estimate the Hurst parameter of sample X via the rescaled range statistic.
+//Calling Sequence:
+//hurst(x)
+//Parameters:
+//x: x is a vector or matrix
+//Description:
+//This function estimates the Hurst parameter of sample x using the rescaled range statistic.
+//If x is a matrix, the parameter is estimated for every column.
+//Examples:
+//hurst([10, 15, 3])
+//ans = 0.045019
+
+  funcprot(0);
+  if (argn(2) ~= 1)
+    error("hurst: wrong number of input arguments");
+  end
+
+  if (isscalar(x))
+    error ("hurst: argument must not be a scalar");
+  end
+  if (isvector(x))
+    x = x(:);
+  end
+
+  [xr, xc] = size (x);
+
+  s = stdev(x, 'r');
+  y = [];
+  for i = 1:xr
+    y(i, :) = x(i, :) - mean(x, 'm');
+  end
+  w = cumsum(y);
+  RS = (max(w, 'r') - min(w, 'r')) ./ s;
+  H = log(RS) / log(xr);
 
-select(rhs)
-	case 1 then
-		y= callOctave("hurst", x);
-end
 endfunction
+
+//input validation:
+//assert_checkerror("hurst()", "hurst: wrong number of input arguments");
+//assert_checkerror("hurst(1, 2, 3)", "Wrong number of input arguments.");
+//assert_checkerror("hurst(1)", "hurst: argument must not be a scalar");
+
+//tests:
+//assert_checkalmostequal(hurst([1, 5, 7, 14, 6]), 0.31180, 5*10^-5);
+//assert_checkalmostequal(hurst([3; 6; 9; 5]), 0.24271, 5*10^-5);
+//assert_checkalmostequal(hurst([-1, 9, 4; 7, 4, -3; 6, 12, -18]),[ 0.124902, 0.063474, 0.084510], 5*10^-5);