The underlying return generating factors for REIT returns: an application of independent component analysis

Multi-factor approaches to analysis of real estate returns have, since the pioneering work of Chan, Hendershott and Sanders (1990), emphasised a macro-variables approach in preference to the latent factor approach that formed the original basis of the arbitrage pricing theory. With increasing use of high frequency data and trading strategies and with a growing emphasis on the risks of extreme events, the macro-variable procedure has some deficiencies. This paper explores a third way, with the use of an alternative to the standard principal components approach – independent components analysis (ICA). ICA seeks higher moment independence and maximises in relation to a chosen risk parameter. We apply an ICA based on kurtosis maximisation to weekly US REIT data using a kurtosis maximising algorithm. The results show that ICA is successful in capturing the kurtosis characteristics of REIT returns, offering possibilities for the development of risk management strategies that are sensitive to extreme events and tail distributions.

Analysis of functional networks involved in motor execution and motor imagery using combined hierarchical clustering analysis and independent component analysis

Cognitive experiments involving motor execution (ME) and motor imagery (MI) have been intensively studied using functional magnetic resonance imaging (fMRI). However, the functional networks of a multitask paradigm which include ME and MI were not widely explored. In this article, we aimed to investigate the functional networks involved in MI and ME using a method combining the hierarchical clustering analysis (HCA) and the independent component analysis (ICA). Ten right-handed subjects were recruited to participate a multitask experiment with conditions such as visual cue, MI, ME and rest. The results showed that four activation clusters were found including parts of the visual network, ME network, the MI network and parts of the resting state network. Furthermore, the integration among these functional networks was also revealed. The findings further demonstrated that the combined HCA with ICA approach was an effective method to analyze the fMRI data of multitasks.

A novel method for power quality multiple disturbance decomposition based on Independent Component Analysis

In this paper, a novel method for power quality signal decomposition is proposed based on Independent Component Analysis (ICA). This method aims to decompose the power system signal (voltage or current) into components that can provide more specific information about the different disturbances which are occurring simultaneously during a multiple disturbance situation. The ICA is originally a multichannel technique. However, the method proposes its use to blindly separate out disturbances existing in a single measured signal (single channel). Therefore, a preprocessing step for the ICA is proposed using a filter bank. The proposed method was applied to synthetic data, simulated data, as well as actual power system signals, showing a very good performance. A comparison with the decomposition provided by the Discrete Wavelet Transform shows that the proposed method presented better decoupling for the analyzed data. (C) 2012 Elsevier Ltd. All rights reserved.

Semantic memory involvement in the default mode network: a functional neuroimaging study using independent component analysis

The Default Mode Network (DMN) is a higher order functional neural network that displays activation during passive rest and deactivation during many types of cognitive tasks. Accordingly, the DMN is viewed to represent the neural correlate of internally-generated self-referential cognition. This hypothesis implies that the DMN requires the involvement of cognitive processes, like declarative memory. The present study thus examines the spatial and functional convergence of the DMN and the semantic memory system. Using an active block-design functional Magnetic Resonance Imaging (fMRI) paradigm and Independent Component Analysis (ICA), we trace the DMN and fMRI signal changes evoked by semantic, phonological and perceptual decision tasks upon visually-presented words. Our findings show less deactivation during semantic compared to the two non-semantic tasks for the entire DMN unit and within left-hemispheric DMN regions, i.e., the dorsal medial prefrontal cortex, the anterior cingulate cortex, the retrosplenial cortex, the angular gyrus, the middle temporal gyrus and the anterior temporal region, as well as the right cerebellum. These results demonstrate that well-known semantic regions are spatially and functionally involved in the DMN. The present study further supports the hypothesis of the DMN as an internal mentation system that involves declarative memory functions.

How does spatial extent of fMRI datasets affect independent component analysis decomposition?

Spatial independent component analysis (sICA) of functional magnetic resonance imaging (fMRI) time series can generate meaningful activation maps and associated descriptive signals, which are useful to evaluate datasets of the entire brain or selected portions of it. Besides computational implications, variations in the input dataset combined with the multivariate nature of ICA may lead to different spatial or temporal readouts of brain activation phenomena. By reducing and increasing a volume of interest (VOI), we applied sICA to different datasets from real activation experiments with multislice acquisition and single or multiple sensory-motor task-induced blood oxygenation level-dependent (BOLD) signal sources with different spatial and temporal structure. Using receiver operating characteristics (ROC) methodology for accuracy evaluation and multiple regression analysis as benchmark, we compared sICA decompositions of reduced and increased VOI fMRI time-series containing auditory, motor and hemifield visual activation occurring separately or simultaneously in time. Both approaches yielded valid results; however, the results of the increased VOI approach were spatially more accurate compared to the results of the decreased VOI approach. This is consistent with the capability of sICA to take advantage of extended samples of statistical observations and suggests that sICA is more powerful with extended rather than reduced VOI datasets to delineate brain activity.

BOLD correlates of continuously fluctuating epileptic activity isolated by independent component analysis

Combined EEG/fMRI recordings offer a promising opportunity to detect brain areas with altered BOLD signal during interictal epileptic discharges (IEDs). These areas are likely to represent the irritative zone, which is itself a reflection of the epileptogenic zone. This paper reports on the imaging findings using independent component analysis (ICA) to continuously quantify epileptiform activity in simultaneously acquired EEG and fMRI. Using ICA derived factors coding for the epileptic activity takes into account that epileptic activity is continuously fluctuating with each spike differing in amplitude, duration and maybe topography, including subthreshold epileptic activity besides clear IEDs and may thus increase the sensitivity and statistical power of combined EEG/fMRI in epilepsy. Twenty patients with different types of focal and generalized epilepsy syndromes were investigated. ICA separated epileptiform activity from normal physiological brain activity and artifacts. In 16/20 patients, BOLD correlates of epileptic activity matched the EEG sources, the clinical semiology, and, if present, the structural lesions. In clinically equivocal cases, the BOLD correlates aided to attribute proper diagnosis of the underlying epilepsy syndrome. Furthermore, in one patient with temporal lobe epilepsy, BOLD correlates of rhythmic delta activity could be employed to delineate the affected hippocampus. Compared to BOLD correlates of manually identified IEDs, the sensitivity was improved from 50% (10/20) to 80%. The ICA EEG/fMRI approach is a safe, non-invasive and easily applicable technique, which can be used to identify regions with altered hemodynamic effects related to IEDs as well as intermittent rhythmic discharges in different types of epilepsy.

Independent component analysis for the identification of sources of variation on an industrial nirs application

A Near Infrared Spectroscopy (NIRS) industrial application was developed by the LPF-Tagralia team, and transferred to a Spanish dehydrator company (Agrotécnica Extremeña S.L.) for the classification of dehydrator onion bulbs for breeding purposes. The automated operation of the system has allowed the classification of more than one million onion bulbs during seasons 2004 to 2008 (Table 1). The performance achieved by the original model (R2=0,65; SEC=2,28ºBrix) was enough for qualitative classification thanks to the broad range of variation of the initial population (18ºBrix). Nevertheless, a reduction of the classification performance of the model has been observed with the passing of seasons. One of the reasons put forward is the reduction of the range of variation that naturally occurs during a breeding process, the other is the variations in other parameters than the variable of interest but whose effects would probably be affecting the measurements [1]. This study points to the application of Independent Component Analysis (ICA) on this highly variable dataset coming from a NIRS industrial application for the identification of the different sources of variation present through seasons.

Automatic motion compensation of free breathing acquired myocardial perfusion data by using independent component analysis

Images acquired during free breathing using first-pass gadolinium-enhanced myocardial perfusion magnetic resonance imaging (MRI) exhibit a quasiperiodic motion pattern that needs to be compensated for if a further automatic analysis of the perfusion is to be executed. In this work, we present a method to compensate this movement by combining independent component analysis (ICA) and image registration: First, we use ICA and a time?frequency analysis to identify the motion and separate it from the intensity change induced by the contrast agent. Then, synthetic reference images are created by recombining all the independent components but the one related to the motion. Therefore, the resulting image series does not exhibit motion and its images have intensities similar to those of their original counterparts. Motion compensation is then achieved by using a multi-pass image registration procedure. We tested our method on 39 image series acquired from 13 patients, covering the basal, mid and apical areas of the left heart ventricle and consisting of 58 perfusion images each. We validated our method by comparing manually tracked intensity profiles of the myocardial sections to automatically generated ones before and after registration of 13 patient data sets (39 distinct slices). We compared linear, non-linear, and combined ICA based registration approaches and previously published motion compensation schemes. Considering run-time and accuracy, a two-step ICA based motion compensation scheme that first optimizes a translation and then for non-linear transformation performed best and achieves registration of the whole series in 32 ± 12 s on a recent workstation. The proposed scheme improves the Pearsons correlation coefficient between manually and automatically obtained time?intensity curves from .84 ± .19 before registration to .96 ± .06 after registration

Independent component analysis for domain independent watermarking

A new principled domain independent watermarking framework is presented. The new approach is based on embedding the message in statistically independent sources of the covertext to mimimise covertext distortion, maximise the information embedding rate and improve the method's robustness against various attacks. Experiments comparing the performance of the new approach, on several standard attacks show the current proposed approach to be competitive with other state of the art domain-specific methods.

Watermarking of audio signals using independent component analysis

A novel approach to watermarking of audio signals using Independent Component Analysis (ICA) is proposed. It exploits the statistical independence of components obtained by practical ICA algorithms to provide a robust watermarking scheme with high information rate and low distortion. Numerical simulations have been performed on audio signals, showing good robustness of the watermark against common attacks with unnoticeable distortion, even for high information rates. An important aspect of the method is its domain independence: it can be used to hide information in other types of data, with minor technical adaptations.

Independent component analysis and feature extraction of financial time series

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Accounting for microsaccadic artifacts in the EEG using independent component analysis and beamforming

© 2015 Society for Psychophysiological Research. The authors would like to thank Renate Zahn and Karolin Meiß for their assistance conducting the recordings. This work was funded by the Deutsche Forschungsgemeinschaft (German Research Foundation; DFG), grant number MU 972/16-1.