FinMath.FactorAnalysis Namespace |
Classes| Class | Description | |
|---|---|---|
 | AffineTransformation |
Represents Affine Factor Transformation (y = x*A + b).
http://en.wikipedia.org/wiki/Affine_transformation
|
| FactorTransformation |
Base class for factor transformations like PCA or ICA.
|
| LSMI |
Least Squares Mutual Information Approximation model.
Use density ratio approximation to approximate alternative version of mutual information between two scalar series.
Use Cross Validation to select model parameters.
Algorithm was described in paper:
Mutual Information Estimation Reveals Global Associations between Stimuli and Biological Processes. Taiji Suzuki 2009.
|
| PCA |
Class which perform Principal Component Analysis (PCA).
http://en.wikipedia.org/wiki/Principal_component_analysis
|