Implementation of the Breusch-Pagan test

[CdeMills]

Hello,

I was struggling with signal sequences where the digitizer switches ranges
at some point; the net result is that there is a jump in the signal standard
deviation. While looking at Wikipedia, I found a potential test for this,
called Breush-Pagan. http://en.wikipedia.org/wiki/Breusch%E2%80%93Pagan_test

The idea is to test the correlation between the residuals and the input
signal; in case of constant variance there should be none. I found an
implementation in R, package lmtest, function bptest. I did a quick and
dirty Octave translation. Is somebody interested in polishing it and adding
it into some package ?

Regards

Pascal



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