Calculates the objective function using independent component analysis

Description

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.

Usage

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objectiveICA(T, E, N, C, PH, method = c("Huber", "Cosh"))

Arguments

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

Details

More details to help above

Value

Objective function value.

Note

further notes

Author(s)

Erjie Ang ea75@cornell.edu

See Also

see also

Examples

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##
d = 2
n = 10000
p = d*(d-1)/2
E = matrix(rnorm(d*n),n,d)
T = as.matrix(rep(0,p))
N = as.matrix(c(1,2))
q = 2*2*p 
C = 1
PH = matrix(rnorm(q*q),q,q)
HCans = objectiveICA(T,E,N,C,PH,method = "Huber")
LSans = objectiveICA(T,E,N,C,PH,method = "Cosh")

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