3-Dimensional PCA Variation in % (Professional Only)

Abbreviation: PCA3%Var
Category: Principal Components Analysis (PCA)
Input Parameters:

Name Range Default
Time Series #1 Close
Time Series #2 Close
Time Series #3 Close
Window Size Int >= 3 50
Vector Number 1 <= Int <= 3 1


Performs the Principal Component Analysis of the last n points in the space of X1…X3, calculates the mth eigenvector and its eigenvalue expressed in % of total sum of all eigenvalues.


X1 = Time Series 1
X2 = Time Series 2
X3 = Time Series 3
n = Window Size
m = Vector Number


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.

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