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.

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.

Genetic parameters and principal component analysis for egg production from White Leghorn hens

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Genotype x location x feeding interactions in Nellore cattle calculated through three-mode principal component analysis

The main objective of this study was to apply three-mode principal component analysis to assess the triple interaction (genotype x location x feeding) on direct genetic value for weight at 205 days of age. We used 60 sires with offspring in three regions of northeastern Brazil (Maranhao, Mata and Agreste, and Reconcavo Baiano) and raised on a pasture regime or with supplementation. There was no interaction between genotype and location, but there was a correlation between genotype and direct effect of feeding. The use of sires should be dictated according to the system of rearing of their offspring.

A robust procedure for damage detection from strain measurements based on principal component analysis

FBGs are excellent strain sensors, because of its low size and multiplexing capability. Tens to hundred of sensors may be embedded into a structure, as it has already been demonstrated. Nevertheless, they only afford strain measurements at local points, so unless the damage affects the strain readings in a distinguishable manner, damage will go undetected. This paper show the experimental results obtained on the wing of a UAV, instrumented with 32 FBGs, before and after small damages were introduced. The PCA algorithm was able to distinguish the damage cases, even for small cracks. Principal Component Analysis (PCA) is a technique of multivariable analysis to reduce a complex data set to a lower dimension and reveal some hidden patterns that underlie.