Installing octave package in ubuntu
You need to install mkoctfile. Depending on your ubuntu version this will be in different packages. It used be in octave-pkg-dev but now is on liboctave-dev.
Ubuntu and Debian place this as separate package because it is only needed if you want to build the packages yourself. They expect you to use the Octave packages that they packaged (sudo apt-get install octave-signal). Their versions will be behind the actual version but the same happens with the Octave version they distribute. That's the price to pay for stability.