Abbreviation: PCA10%Var
Category: Principal Components Analysis (PCA)
Input Parameters:
| Name | Range | Default |
| Time Series #1 | Close | |
| Time Series #2 | Close | |
| Time Series #3 | Close | |
| Time Series #4 | Close | |
| Time Series #5 | Close | |
| Time Series #6 | Close | |
| Time Series #7 | Close | |
| Time Series #8 | Close | |
| Time Series #9 | Close | |
| Time Series #10 | Close | |
| Window Size | Int >= 10 | 50 |
| Vector Number | 1 <= Int <= 10 | 1 |
Calculation:
Performs the Principal Component Analysis of the last n points in the space of X1…X10, calculates the mth eigenvector and its eigenvalue expressed in % of total sum of all eigenvalues,
where
X1 = Time Series 1
X2 = Time Series 2
X3 = Time Series 3
X4 = Time Series 4
X5 = Time Series 5
X6 = Time Series 6
X7 = Time Series 7
X8 = Time Series 8
X9 = Time Series 9
X10 = Time Series 10
n = Window Size
m = Vector Number
Discussion:
Calculates the percent of total variation along the mth significant direction in the data. For more information on Principal Component Analysis refer to Principal Components Analysis (PCA) Discussion.