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[EquisMetaStock Group] Re: Hotelling Transform



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Sorry, I am mixing up two things here, the Hotelling transform and the
Hotelling T2 statistic.  Both are inherently multidimensional, which
is why I am asking the context.  I think the Hotelling transform
entails calculating the eigenvalues - there is this neat way of doing
that.  You just keep on raising whatever matrix you are working with
to higher powers and the eigenvalues sort of fall out.  It is called
the power technique if I remember correctly.  I don't think it is
doable in MS, since, being multidimensional, you need to work with
matrices and so on.  But again, give the context and maybe I can help
a bit.

Regards
MG Ferreira
TsaTsa EOD Programmer and trading model builder
http://www.ferra4models.com
http://fun.ferra4models.com 

--- In equismetastock@xxxxxxxxxxxxxxx, mgf_za_1999 <no_reply@xxxx> wrote:
> Could you give the context of the Hotelling transform?  I've never
> seen the Hotelling T2 statistic used in technical analysis.  I could
> assist maybe, if I understand how it is used.  The Hotelling T2 stat,
> if this is what you refer to, is usually used in multivariate analysis
> but there is a much simpler formula that works in one dimension.
> 
> Regards
> MG Ferreira
> TsaTsa EOD Programmer and trading model builder
> http://www.ferra4models.com
> http://fun.ferra4models.com 
> 
> 
> --- In equismetastock@xxxxxxxxxxxxxxx, "formulaprimer"
> <formulaprimer@xxxx> wrote:
> > Does anyone have a code for Hotelling Transformfor small sample sizes 
> > (e.g,: short period lengths  say n<25)
> > 
> > Please do not refer to a pay site for indicators. I am in a forum
like 
> > this to get free source codes.




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