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Also what about the following possiblity
Variance-Stabilizing Transformations of the Correlation Coefficient
Description
z.transform implements Fisher's (1921) first-order and Hotelling's
(1953) second-order transformations to stabilize the distribution of
the correlation coefficient. After the transformation the data
follows approximately a normal distribution with constant variance
(i.e. independent of the mean).
Hotelling's transformation requires the specification of the degree
of freedom kappa of the underlying distribution. This depends on the
sample size n used to compute the sample correlation and whether
simple ot partial correlation coefficients are considered. If there
are p variables, with p-2 variables eliminated, the degree of
freedom is kappa=n-p+1.
--- In equismetastock@xxxxxxxxxxxxxxx, mgf_za_1999 <no_reply@xxxx>
wrote:
> 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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