Continue to Site

Welcome to EDAboard.com

Welcome to our site! EDAboard.com is an international Electronics Discussion Forum focused on EDA software, circuits, schematics, books, theory, papers, asic, pld, 8051, DSP, Network, RF, Analog Design, PCB, Service Manuals... and a whole lot more! To participate you need to register. Registration is free. Click here to register now.

Independent Component Analysis vs Single Spectrum Analysis

Status
Not open for further replies.

p75213

Newbie level 3
Newbie level 3
Joined
Jan 2, 2013
Messages
3
Helped
0
Reputation
0
Reaction score
0
Trophy points
1,281
Activity points
1,313
Hello,
I have implemented single spectrum analysis and independent component analysis against a time series (in this case the euro foreign exchange) as a smoothing indicator. The ssa algorithm I purchased from: Caterpillar-SSA - https://www.gistatgroup.com/cat/programs.html and the ica algorithm is fastICA from it++ open source software. In both cases the window size is set at 90. SSA has 6 principle components and fasICA has 6 independent components.

In both cases the time series is deconstructed into a matrix of delays before either the ssa or ica processing takes place. After processing the smoothed indicator is reconstructed using diagonal averaging. The strange thing is in both cases the indicators are nearly identical (not quite - observe at the very end where they diverge slightly). Should this be the casel?
Also as new bars are added to the series both indicators readjust themselves retrospectively. How can this action be minimised or better still stopped in either indicator.
 

Attachments

  • ScreenHunter_01 Jan. 02 23.35.gif
    ScreenHunter_01 Jan. 02 23.35.gif
    24.9 KB · Views: 79

Status
Not open for further replies.

Part and Inventory Search

Welcome to EDABoard.com

Sponsor

Back
Top