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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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Output type / Parameter details

Output type: Double()
Parameter NameVariable TypeDescription
InputArrayDouble()Input array of m series with n elements
mDoubleNumber of series
nDoubleNumber of elements in series
aDoublevalue of a in blended importance criterion
cDoublevalue of c in blended importance criterion

Links to:

-          Interactively run function

-          Interactive instructions

-          Example calculation

-          Output type / Parameter details

-          Illustrative spreadsheet

-          Other Statistical functions

-          Computation units used


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