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.

Constrained principal component analysis reveals functionally connected load-dependent networks involved in multiple stages of working memory

Constrained principal component analysis (CPCA) with a finite impulse response (FIR) basis set was used to reveal functionally connected networks and their temporal progression over a multistage verbal working memory trial in which memory load was varied. Four components were extracted, and all showed statistically significant sensitivity to the memory load manipulation. Additionally, two of the four components sustained this peak activity, both for approximately 3 s (Components 1 and 4). The functional networks that showed sustained activity were characterized by increased activations in the dorsal anterior cingulate cortex, right dorsolateral prefrontal cortex, and left supramarginal gyrus, and decreased activations in the primary auditory cortex and "default network" regions. The functional networks that did not show sustained activity were instead dominated by increased activation in occipital cortex, dorsal anterior cingulate cortex, sensori-motor cortical regions, and superior parietal cortex. The response shapes suggest that although all four components appear to be invoked at encoding, the two sustained-peak components are likely to be additionally involved in the delay period. Our investigation provides a unique view of the contributions made by a network of brain regions over the course of a multiple-stage working memory trial.

Analysis of diffusion tensor magnetic resonance imaging data using principal component analysis

An analysis method for diffusion tensor (DT) magnetic resonance imaging data is described, which, contrary to the standard method (multivariate fitting), does not require a specific functional model for diffusion-weighted (DW) signals. The method uses principal component analysis (PCA) under the assumption of a single fibre per pixel. PCA and the standard method were compared using simulations and human brain data. The two methods were equivalent in determining fibre orientation. PCA-derived fractional anisotropy and DT relative anisotropy had similar signal-to-noise ratio (SNR) and dependence on fibre shape. PCA-derived mean diffusivity had similar SNR to the respective DT scalar, and it depended on fibre anisotropy. Appropriate scaling of the PCA measures resulted in very good agreement between PCA and DT maps. In conclusion, the assumption of a specific functional model for DW signals is not necessary for characterization of anisotropic diffusion in a single fibre.

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.

Ecological niche modeling and principal component analysis of Krameria Loefl. (Krameriaceae)

Krameria plants are found in arid regions of the Americas and present a floral system that attracts oil-collecting bees. Niche modeling and multivariate tools were applied to examine ecological and geographical aspects of the 18 species of this genus, using occurrence data obtained from herbaria and literature. Niche modeling showed the potential areas of occurrence for each species and the analysis of climatic variables suggested that North American species occur mostly in deserted or xeric ecoregions with monthly precipitation below 140 mm and large temperature ranges. South American species are mainly found in deserted ecoregions and subtropical savannas where monthly precipitation often exceeds 150 mm and temperature ranges are smaller. Principal Component Analysis (PCA) performed with values of temperature and precipitation showed that the distribution limits of Krameria species are primarily associated with maximum and minimum temperatures. Modeling of Krameria species proved to be a useful tool for analyzing the influence of the ecological niche variables in the geographical distribution of species, providing new information to guide future investigations. (C) 2011 Elsevier Ltd. All rights reserved.

Chemotaxonomic relationships in Celastraceae inferred from principal component analysis (PCA) and partial least squares (PLS)

This paper describes a chemotaxonomic analysis of a database of triterpenoid compounds from the Celastraceae family using principal component analysis (PCA). The numbers of occurrences of thirty types of triterpene skeleton in different tribes of the family were used as variables. The study shows that PCA applied to chemical data can contribute to an intrafamilial classification of Celastraceae, once some questionable taxa affinity was observed, from chemotaxonomic inferences about genera and they are in agreement with the phylogeny previously proposed. The inclusion of Hippocrateaceae within Celastraceae is supported by the triterpene chemistry.

Neuronal Assembly Detection and Cell Membership Specification by Principal Component Analysis

LOPES-DOS-SANTOS, V. , CONDE-OCAZIONEZ, S. ; NICOLELIS, M. A. L. , RIBEIRO, S. T. , TORT, A. B. L. . Neuronal assembly detection and cell membership specification by principal component analysis. Plos One, v. 6, p. e20996, 2011.

Reduction capability of soil humic substances from the Rio Negro basin, Brazil, towards Hg(II) studied by a multimethod approach and principal component analysis (PCA)

This paper characterizes humic substances (HS) extracted from soil samples collected in the Rio Negro basin in the state of Amazonas, Brazil, particularly investigating their reduction capabilities towards Hg(II) in order to elucidate potential mercury cycling/volatilization in this environment. For this reason, a multimethod approach was used, consisting of both instrumental methods (elemental analysis, EPR, solid-state NMR, FIA combined with cold-vapor AAS of Hg(0)) and statistical methods such as principal component analysis (PCA) and a central composite factorial planning method. The HS under study were divided into groups, complexing and reducing ones, owing to different distribution of their functionalities. The main functionalities (cor)related with reduction of Hg(II) were phenolic, carboxylic and amide groups, while the groups related with complexation of Hg(II) were ethers, hydroxyls, aldehydes and ketones. The HS extracted from floodable regions of the Rio Negro basin presented a greater capacity to retain (to complex, to adsorb physically and/or chemically) Hg(II), while nonfloodable regions showed a greater capacity to reduce Hg(II), indicating that HS extracted from different types of regions contribute in different ways to the biogeochemical mercury cycle in the basin of the mid-Rio Negro, AM, Brazil. (c) 2007 Published by Elsevier B.V.

Chemosystematic studies of natural compounds isolated from Asteraceae: characterization of tribes by principal component analysis

This work describes an application of principal component analysis (PCA) on a database of secondary metabolites from the Asteraceae family. The numbers of occurrences of metabolites in 11 chemical classes for the different vibes of the family were used as variables, PCA allows the identification of chemical classes that contribute most to the subgroups classification within the family. Relationships between chemical composition and botanical classification were made. (C) 2001 Elsevier B.V. B.V. All rights reserved.

Genetic parameter estimates and principal component analysis of breeding values of reproduction and growth traits in female Canchim cattle

Phenotypic data from female Canchim beef cattle were used to obtain estimates of genetic parameters for reproduction and growth traits using a linear animal mixed model. In addition, relationships among animal estimated breeding values (EBVs) for these traits were explored using principal component analysis. The traits studied in female Canchim cattle were age at first calving (AFC), age at second calving (ASC), calving interval (CI), and bodyweight at 420 days of age (BW420). The heritability estimates for AFC, ASC, CI and BW420 were 0.03±0.01, 0.07±0.01, 0.06±0.02, and 0.24±0.02, respectively. The genetic correlations for AFC with ASC, AFC with CI, AFC with BW420, ASC with CI, ASC with BW420, and CI with BW420 were 0.87±0.07, 0.23±0.02, -0.15±0.01, 0.67±0.13, -0.07±0.13, and 0.02±0.14, respectively. Standardised EBVs for AFC, ASC and CI exhibited a high association with the first principal component, whereas the standardised EBV for BW420 was closely associated with the second principal component. The heritability estimates for AFC, ASC and CI suggest that these traits would respond slowly to selection. However, selection response could be enhanced by constructing selection indices based on the principal components. © CSIRO 2013.