Principal Components and Independent Components

Extreme events: blending PCA and ICA [16]

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Bullet points include: If y are observed output results and x are supposed input signals then We have assumed that y = Wx for some W, the mixing matrix. Hence x = Ay, for some A, the unmixing matrix, where A = W -1. Inputs. Market dynamics (assumed to arise from a mixing matrix). Outputs. yi = Wxi. hence xi= W -1yi

Bullet points include: If y are observed output results and x are supposed input signals then We have assumed that y = Wx for some W, the mixing matrix. Hence x = Ay, for some A, the unmixing matrix, where A = W -1. Inputs. Market dynamics (assumed to arise from a mixing matrix). Outputs. yi = Wxi. hence xi= W -1yi

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