BlendedPCAICA
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Function Description
Returns an array of entries
corresponding to the the (zero mean) series corresponding to the blended
principal components/independent components of different
data series of observations, ordered so that
the signals with the largest importance criteria are first. The first entries of
the array returns correspond to the elements of the signal with the largest
importance criterion etc.
The blended approach uses the following importance
criterion:
where is the standard deviation of
the potential signal, is its kurtosis, and where the
signals are normalised so that the squares of the betas of the different input
series to the relevant signal add to unity.
See IndependentComponentsAnalysis
for further details.
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