Comments and Ratings

xmovavg: with windowlength=200 it cuts my values from 2863 to 2663. why?

at noiseest i think command for sigma is incorrect. out of sigma cannot appear. could u make some checking and correction on it. email me as soon as possible.

regard,
lyviawaty

I would like to calculate the spearman correlation of two matrix, how can I?

i'm studend in ITS (Institut teknologi sepuluh Nopember) Surabaya in Indonesia.
i'm interest to sdudied fractal (mono and multi) analysis for well-log analysis.

thank's for this source code.

Needs some small fixes, I gave it simulated fBm time series and put them in the routine, but the slopes did not evaluate to the H exponent. I found that the routine is missing the first step taking log(Ni+1/Ni) of the time series. Also, autocorr(x,1) I replaced as xcorr(x)...maybe my version. Now it is giving meaningful data. Otherwise, a great reoutine and saves lots of time typing up the bulk of the code....THANKS!!!

Very useful! Just a notice (at least for the Lo method): the variation seems to be the unbiased one (i.e. the cross-product sums are divided by the degrees of freedom, instead of the full period length).

im using matlab2006a, when i type in the coding it appear
"Undefined command/function 'spear'"
can i know why?
please advise..

Why is this in Financial Modeling & Analysis?

Excellent

it is good

It does not handle NAN values. See corrected *.m file below (it handle NAN):

*************************************
function [r,t,p]=spear(x,y)
%Syntax: [r,t,p]=spear(x,y)
%__________________________
%
% Spearman's rank correalation coefficient.
%
% r is the Spearman's rank correlation coefficient.
% t is the t-ratio of r.
% p is the corresponding p-value.
% x is the first data series (column).
% y is the second data series, a matrix which may contain one or multiple
% columns.
%
%
% Reference:
% Press W. H., Teukolsky S. A., Vetterling W. T., Flannery B. P.(1996):
% Numerical Recipes in C, Cambridge University Press. Page 641.
%
%
% Example:
% x = [1 2 3 3 3]';
% y = [1 2 2 4 3; rand(1,5)]';
% [r,t,p] = spear(x,y)
%
%
% Products Required:
% Statistics Toolbox
%
% Alexandros Leontitsis
% Department of Education
% University of Ioannina
% 45110- Dourouti
% Ioannina
% Greece
%
% University e-mail: me00743@cc.uoi.gr
% Lifetime e-mail: leoaleq@yahoo.com
% Homepage: http://www.geocities.com/CapeCanaveral/Lab/1421
%
% 3 Feb 2002.

for i=1:size(y,2)
    
    % quito NaN:
    x=x(:);
    yi=y(:,i);
    
    H=find(x>=0 & yi>=0);
    x=x(H);
    yi=yi(H);
    
    % x and y must have equal number of rows
    if size(x,1)~=size(yi,1)
error('x and y must have equal number of rows.');
    end
    
    % Find the data length
    N = length(x);
    
    % Get the ranks of x
    R = crank(x)';

    % Get the ranks of y
    S = crank(yi)';
    
    % Calculate the correlation coefficient
    r(i) = 1-6*sum((R-S).^2)/N/(N^2-1);
    
end

% Calculate the t statistic
if r == 1 | r == -1
    t = r*inf;
else
    t=r.*sqrt((N-2)./(1-r.^2));
end

% Calculate the p-values
p=2*(1-tcdf(abs(t),N-2));

function r=crank(x)
%Syntax: r=crank(x)
%__________________
%
% Assigns ranks on a data series x.
%
% r is the vector of the ranks
% x is the data series. It must be sorted.
%
%
% Reference:
% Press W. H., Teukolsky S. A., Vetterling W. T., Flannery B. P.(1996):
% Numerical Recipes in C, Cambridge University Press. Page 642.
%
%
% Alexandros Leontitsis
% Department of Education
% University of Ioannina
% 45110- Dourouti
% Ioannina
% Greece
%
% University e-mail: me00743@cc.uoi.gr
% Lifetime e-mail: leoaleq@yahoo.com
% Homepage: http://www.geocities.com/CapeCanaveral/Lab/1421
%
% 3 Feb 2002.

u = unique(x);
[xs,z1] = sort(x);
[z1,z2] = sort(z1);
r = (1:length(x))';
r=r(z2);

for i=1:length(u)
    
    s=find(u(i)==x);
    
    r(s,1) = mean(r(s));
    
end
***********************************

nice

When I debug the file "hpso" there is an error as following :
??? Input argument "nvars" is undefined.

Error in ==> hPSO at 45
for i=1:nvars
I don't know how to solve it. Please help me thanks!

The result doesn't seem to be correct!!

It is a helpful and actual-working-fine program. I ran the SPSS cp the result, and it is matched. for tcdf : google it, you will find a shared code. Just download it and add it in your work folder. For input example: x = [1 2 3]';y = [8 2 7]';spear(x,y);

The program calculates the rescaled range, the expected value, and the V-statistic. One just needs to determine the cycle length (if any) and set up the regression accordingly. The slope of the regression equation is the Hurst exponent.

With the expected value for R/S, one can easily test the significance of the results.

Overall a very good and handy routine.

Thomas

good