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 |

ica4fts documentation built on May 31, 2017, 3:05 a.m.

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