
Economics Economics Forum  Financial Mathematics, Econometrics, Operations Research, Mathematical Finance, Computational Finance 
 LinkBack  Thread Tools  Display Modes 
December 11th, 2012, 05:24 AM  #1 
Newbie Joined: Dec 2012 Posts: 1 Thanks: 0  Time Series Independent Component Analysis
I am trying to figure out how to do independent component analysis on a single stream of time series data (stock prices). The ica algorithm comes as part of the it++ package however it is necessary to perform some preprocessing on the time series data as ica works on the premise that the number of observations is at least as large as the number of sources. The preprocessing involves constructing a matrix Y that contains the original time series in the 1st column, a lag1 shifted version of the time series in the 2nd column etc. eg. Y= 1.0135518  0.7113242  0.3906069 1.565203  0.7113242  0.3906069 1.565203 0.0439317  0.3906069 1.565203 0.0439317  1.1656093 etc. My questions are: What steps are necessary to recover the independent sources after ICA is performed? How to order the IC's from most significant to least significant. 
December 11th, 2012, 05:31 AM  #2 
Senior Member Joined: Jul 2010 From: St. Augustine, FL., U.S.A.'s oldest city Posts: 12,211 Thanks: 522 Math Focus: Calculus/ODEs  Re: Time Series Independent Component Analysis
I have deleted the duplicate postings of this topic. This removes redundancy and prevents duplication of effort on the part of our contributors.


Tags 
analysis, component, independent, series, time 
Thread Tools  
Display Modes  

Similar Threads  
Thread  Thread Starter  Forum  Replies  Last Post 
time series  mandy  New Users  0  March 4th, 2013 03:51 PM 
Two very basic questions related to time series analysis  sydfremmer  Advanced Statistics  1  December 17th, 2012 01:27 PM 
Data analysis using Independent Component Analysis (ICA)  ggyyree  Advanced Statistics  1  August 9th, 2012 04:48 AM 
Correlation Time series  Vertje  Advanced Statistics  0  June 5th, 2012 02:16 AM 
Data analysis using Independent Component Analysis (ICA)  ggyyree  Real Analysis  0  December 31st, 1969 04:00 PM 