Description Usage Arguments Details Value Note Author(s) See Also Examples
objectiveICA
performs independent component analysis on financial time series data.
It first calls C function theta2w to which multiplies a series of independent Given's rotational matrices. Depending on user input for the method,
either Huber or Cosh, the objective function is calculated using C functions either objectiveHC or objectiveLS
respectively.
1 | objectiveICA(T, E, N, C, PH, method = c("Huber", "Cosh"))
|
T |
Vector of angles of length p |
E |
Financial time series data of dimension nxd |
N |
Vector of lags that MUST be arranged in ascending order |
C |
Real number C which is used for Huber substitution or Logcosh substitution |
PH |
Phi matrix of weights of dimension q*q |
method |
If method is Huber, use Huber substitution method. If method is Cosh, use logcosh substitution method |
More details to help above
Objective function value.
further notes
Erjie Ang ea75@cornell.edu
see also
1 2 3 4 5 6 7 8 9 10 11 12 |
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.