Abbreviation: PCALag%Var
Category: Principal Components Analysis (PCA)
Input Parameters:
| Name | Range | Default |
| Time Series | Close | |
| Window Size | Int >= Max Lag + 1 | 50 |
| Vector Number | 1 <= Int <= Max Lag + 1 | 1 |
| Max Lag | Int >= 0 | 25 |
Calculation:
Performs the Principal Component Analysis of the last n points in the space of X, Lag(X,1), Lag (X,2), …, Lag(X,MaxLag), calculates the mth eigenvector and its eigenvalue expressed in % of total sum of all eigenvalues,
where
X = Time Series
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.