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function

[logRS,logERS,V]=RSana(x,n,method,q)

%Syntax:

[logRS,logERS,V]=RSana(x,n,method,q)

%____________________________________________

%

% Performs R/S

analysis on a time series.

%

% logRS is the

log(R/S).

% logERS is the

Expectation of log(R/S).

% V is the V

statistic.

% x is the time

series.

% n is the vector

with the sub-periods.

% method can take

one of the following values

% 'Hurst'

for the Hurst-Mandelbrot variation.

% 'Lo' for the Lo variation.

% 'MW' for the Moody-Wu variation.

% 'Parzen' for the Parzen variation.

% q can be either

% a (non-negative) integer.

% 'auto' for the Lo's suggested value.

%

%

% References:

%

% Peters E (1991):

Chaos and Order in the Capital Markets. Willey

%

% Peters E (1996):

Fractal Market Analysis. Wiley

%

% Lo A (1991): Long

term memory in stock market prices. Econometrica

% 59: 1279-1313

%

% Moody J, Wu L

(1996): Improved estimates for Rescaled Range and Hurst

% exponents. Neural

Networks in Financial Engineering, eds. Refenes A-P

% Abu-Mustafa Y,

Moody J, Weigend A: 537-553, Word Scientific

%

% Hauser M (1997):

Semiparametric and nonparametric testing for long

% memory: A Monte

Carlo study. Empirical Economics 22: 247-271

%

%

% 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

%

% 1 Jan 2004.

if nargin<1 |

isempty(x)==1

error('You should provide a time series.');

else

% x must be a vector

if min(size(x))>1

error('Invalid time series.');

end

x=x(:);

% N is the time series length

N=length(x);

end

if nargin<2 |

isempty(n)==1

n=1;

else

% n must be either a scalar or a vector

if

min(size(n))>1

error('n must be either a scalar or a

vector.');

end

% n must be integer

if n-round(n)~=0

error('n must be integer.');

end

% n must be positive

if n<=0

error('n must be positive.');

end

end

if nargin<4 |

isempty(q)==1

q=0;

else

if q=='auto'

t=autocorr(x,1);

t=t(2);

q=((3*N/2)^(1/3))*(2*t/(1-t^2))^(2/3);

else

% q must be a scalar

if sum(size(q))>2

error('q must be scalar.');

end

% q must be integer

if q-round(q)~=0

error('q must be integer.');

end

% q must be positive

if q<0

error('q must be positive.');

end

end

end

for i=1:length(n)

% Calculate the sub-periods

a=floor(N/n(i));

% Make the sub-periods matrix

X=reshape(x(1:a*n(i)),n(i),a);

% Estimate the mean of each sub-period

ave=mean(X);

% Remove the mean from each sub-period

cumdev=X-ones(n(i),1)*ave;

% Estimate the cumulative deviation from

the mean

cumdev=cumsum(cumdev);

% Estimate the standard deviation

switch method

case 'Hurst'

% Hurst-Mandelbrot variation

stdev=std(X);

case 'Lo'

% Lo variation

for j=1:a

sq=0;

for k=0:q

v(k+1)=sum(X(k+1:n(i),j)'*X(1:n(i)-k,j))/(n(i)-1);

if k>0

sq=sq+(1-k/(q+1))*v(k+1);

end

end

stdev(j)=sqrt(v(1)+2*sq);

end

case 'MW'

% Moody-Wu variation

for j=1:a

sq1=0;

sq2=0;

for k=0:q

v(k+1)=sum(X(k+1:n(i),j)'*X(1:n(i)-k,j))/(n(i)-1);

if k>0

sq1=sq1+(1-k/(q+1))*(n(i)-k)/n(i)/n(i);

sq2=sq2+(1-k/(q+1))*v(k+1);

end

end

stdev(j)=sqrt((1+2*sq1)*v(1)+2*sq2);

end

case 'Parzen'

% Parzen variation

if mod(q,2)~=0

error('For the "Parzen"

variation q must be dived by 2.');

end

for j=1:a

sq1=0;

sq2=0;

for k=0:q

v(k+1)=sum(X(k+1:n(i),j)'*X(1:n(i)-k,j))/(n(i)-1);

if k>0 & k<=q/2

sq1=sq1+(1-6*(k/q)^2+6*(k/q)^3)*v(k+1);

elseif k>0 & k>q/2

sq2=sq2+(1-(k/q)^3)*v(k+1);

end

end

stdev(j)=sqrt(v(1)+2*sq1+2*sq2);

end

otherwise

error('You should provide another value for "method".');

end

% Estiamte the rescaled range

rs=(max(cumdev)-min(cumdev))./stdev;

clear stdev

% Take the logarithm of the mean R/S

logRS(i,1)=log10(mean(rs));

if nargout>1

% Initial calculations fro the

log(E(R/S))

j=1:n(i)-1;

s=sqrt((n(i)-j)./j);

s=sum(s);

% The estimation of log(E(R/S))

logERS(i,1)=log10(s/sqrt(n(i)*pi/2));

% Other estimations of log(E(R/S))

%logERS(i,1)=log10((n(i)-0.5)/n(i)*s/sqrt(n(i)*pi/2));

%logERS(i,1)=log10(sqrt(n(i)*pi/2));

end

if nargout>2

% Estimate V

V(i,1)=mean(rs)/sqrt(n(i));

end

end

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