objectiveICA: Calculates the objective function using independent component...
In ica4fts: ica4fts package

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

##
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")