Research Article
Dynamically Measuring Statistical Dependencies in Multivariate Financial Time Series Using Independent Component Analysis
Table 1
Example showing comparison of average computation time (in seconds) of mutual information and information coupling, when these measures are used to analyse bivariate data sets containing different number of samples (). The approach used to estimate mutual information is based on a Parzen window based algorithm, as described in [45]. The computational cost of this algorithm is dependent on the window-size (). The values of used for the simulations are for , and for all other simulations. Results are obtained using a 2.66 GHz processor as an average of 100 simulations.
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