%_________________________________________________________________________________

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%Hurst.m
%Written by Paolo B. DePetrillo (2003)
%Revised to include slope standard deviation 2007
%If this routine is used in your work, please reference the following:
%DePetrillo PB, Speers D'A, Ruttiman UE. Determining the hurst exponent
%of a fractal time series and its application to EKG signal analsyis.
%Comput Biol Med 29:6, 393-406. 1999.
%_________________________________________________________________________________
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%input vector T is a column containing the magnitudes of the time %series, or

interbeat interval(ms)
%input scalar E is the embedding dimension for phase space
%function [ H ] = hurst(T, E)

T = T'; %B assumes column structure for input vector

B=T; %transposed to row vector

%matrix representing phase space

for i = 1:E-1 %Generate array from input vector T

T(:,[end])=[]; %Remove last point of T
B(:,[1])=[]; %remove first point of B
T=[T;B]; %concatenate T and B
end %E is embedding dimension

Max=round(sqrt(size(T,2))); %figure out maximum hop

%which is the sqrt of the number of
%columns of final array T

%curve length
for i = 1:Max %i is the hop size
D=diff(T(:,[1:i:size(T,2)]),1,2); %take the successive differences
%based on hop size i
S=D.^2; %and square them
L(i)=(sum(sqrt(sum(S))))/i; %now L(i) is the length of the curve
end %at progressive hop size i
%divide by hop size to normalize

%plotting
Win=log([1:Max])' %usual linear regression
Y=log(L)' %matrix transpose so work with
%columns

X=[ones(size(Win)) Win];
a=X\Y;

SX=sum(Win);
SY=sum(Y);
SXX=sum(Win .* Win)
SYY=sum(Y.*Y);
SXY=sum(Win.*Y);
LX=length(Win);
LY=length(Y);
XM=SX/LX;
XY=SY/LY;
QX=SXX-SX*SX/LX;
QY=SYY-SY*SY/LY;
QXY=SXY-SX*SY/LX;
fractaldim=QXY/QX
slope=fractaldim;
QYdotX=QY-slope*QXY;
SYdotX=sqrt(QYdotX/(LX-2));
stdevfractaldimension=SYdotX/sqrt(QX)

%output
D = -a(2); %D is fractal dimension
H = 2-D %H is Hurst exponent

plot(Win,Y)
XLABEL('log(r)')
YLABEL('log((L(r)/r))')