Abbreviation: PCA4%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 | |
| Window Size | Int >= 4 | 50 |
| Vector Number | 1 <= Int <= 4 | 1 |
Calculation:
Performs the Principal Component Analysis of the last n points in the space of X1…X4, 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
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.