{"id":467,"date":"2020-05-08T13:53:10","date_gmt":"2020-05-08T13:53:10","guid":{"rendered":"https:\/\/ricovictor.com\/?p=467"},"modified":"2026-01-29T22:19:34","modified_gmt":"2026-01-29T22:19:34","slug":"independencia-entre-variables-con-matrices","status":"publish","type":"post","link":"https:\/\/ricovictor.com\/index.php\/2020\/05\/08\/independencia-entre-variables-con-matrices\/","title":{"rendered":"Independencia entre variables con matrices"},"content":{"rendered":"\t\t<div data-elementor-type=\"wp-post\" data-elementor-id=\"467\" class=\"elementor elementor-467\">\n\t\t\t\t\t\t\t\t\t<section class=\"elementor-section elementor-top-section elementor-element elementor-element-b8ddb60 elementor-section-boxed elementor-section-height-default elementor-section-height-default\" data-id=\"b8ddb60\" data-element_type=\"section\">\n\t\t\t\t\t\t<div class=\"elementor-container elementor-column-gap-default\">\n\t\t\t\t\t<div class=\"elementor-column elementor-col-100 elementor-top-column elementor-element elementor-element-971fc8d\" data-id=\"971fc8d\" data-element_type=\"column\">\n\t\t\t<div class=\"elementor-widget-wrap elementor-element-populated\">\n\t\t\t\t\t\t\t\t<div class=\"elementor-element elementor-element-85b9ab5 elementor-widget elementor-widget-text-editor\" data-id=\"85b9ab5\" data-element_type=\"widget\" data-widget_type=\"text-editor.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t<p>\ud83d\udc4c En muchas ocasiones cuando vamos a crear alg\u00fan tipo de <strong>modelo estad\u00edstico<\/strong> y tenemos una gran cantidad de variables queremos saber si hay una relaci\u00f3n lineal muy fuerte entre ellas o por el contrario son independientes entre s\u00ed.<\/p><p>\ud83d\udc68\u200d\ud83c\udfeb Dentro de las finanzas si quieres desarrollar una <a href=\"https:\/\/www.youtube.com\/watch?v=vrT5gEWokok\">cartera<\/a> de inversi\u00f3n y c\u00f3mo es l\u00f3gico tu intenci\u00f3n es diversificar entre activos es posible que necesites filtrar de alguna manera al principio, porque es normal no saber que activos escoger al principio.<\/p><p>Es por ello que puede ser \u00fatil utilizar alg\u00fan criterio espec\u00edfico que nos ayude de manera global a saber de todas nuestras variables cu\u00e1les son las m\u00e1s independientes entre ellas.<\/p><p>\ud83d\ude03Una forma simple de ver \u00e9sto es utilizar uno de los conceptos que m\u00e1s utilizados en <strong>econometr\u00eda y matem\u00e1ticas<\/strong>,que son las matrices y determinantes.<\/p><p>\ud83d\udc49Utilizando las matriz de correlaciones y haciendo el c\u00e1lculo del m\u00e1ximo determinante se puede crear un <strong>algoritmo<\/strong> que os permita estudiar la relaci\u00f3n de independencia existente entre vuestras variables.<\/p><p>En \u00e9ste v\u00eddeo os explico c\u00f3mo pod\u00e9is hacerlo de manera pr\u00e1ctica. Yo uso los mercados financieros como ejemplo pero vosotros pod\u00e9is adaptarlo a otros campos. M\u00e1s abajo ten\u00e9is el c\u00f3digo usado tambi\u00e9n .\ud83d\udc47\ud83d\udc47<\/p>\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t<section class=\"elementor-section elementor-top-section elementor-element elementor-element-325bae4 elementor-section-boxed elementor-section-height-default elementor-section-height-default\" data-id=\"325bae4\" data-element_type=\"section\">\n\t\t\t\t\t\t<div class=\"elementor-container elementor-column-gap-default\">\n\t\t\t\t\t<div class=\"elementor-column elementor-col-100 elementor-top-column elementor-element elementor-element-488097f\" data-id=\"488097f\" data-element_type=\"column\">\n\t\t\t<div class=\"elementor-widget-wrap elementor-element-populated\">\n\t\t\t\t\t\t\t\t<div class=\"elementor-element elementor-element-022275c elementor-widget elementor-widget-spacer\" data-id=\"022275c\" data-element_type=\"widget\" data-widget_type=\"spacer.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<div class=\"elementor-spacer\">\n\t\t\t<div class=\"elementor-spacer-inner\"><\/div>\n\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-a6bd6bb elementor-widget elementor-widget-video\" data-id=\"a6bd6bb\" data-element_type=\"widget\" data-settings=\"{&quot;youtube_url&quot;:&quot;https:\\\/\\\/www.youtube.com\\\/watch?v=ovOfy86uHOU&quot;,&quot;video_type&quot;:&quot;youtube&quot;,&quot;controls&quot;:&quot;yes&quot;}\" data-widget_type=\"video.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<div class=\"elementor-wrapper elementor-open-inline\">\n\t\t\t<div class=\"elementor-video\"><\/div>\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t<section class=\"elementor-section elementor-top-section elementor-element elementor-element-d366667 elementor-section-boxed elementor-section-height-default elementor-section-height-default\" data-id=\"d366667\" data-element_type=\"section\">\n\t\t\t\t\t\t<div class=\"elementor-container elementor-column-gap-default\">\n\t\t\t\t\t<div class=\"elementor-column elementor-col-100 elementor-top-column elementor-element elementor-element-4688f7a\" data-id=\"4688f7a\" data-element_type=\"column\">\n\t\t\t<div class=\"elementor-widget-wrap elementor-element-populated\">\n\t\t\t\t\t\t\t\t<div class=\"elementor-element elementor-element-804af62 elementor-widget elementor-widget-spacer\" data-id=\"804af62\" data-element_type=\"widget\" data-widget_type=\"spacer.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<div class=\"elementor-spacer\">\n\t\t\t<div class=\"elementor-spacer-inner\"><\/div>\n\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-a7b9626 elementor-widget elementor-widget-text-editor\" data-id=\"a7b9626\" data-element_type=\"widget\" data-widget_type=\"text-editor.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t<p><strong>C\u00d3DIGO EN R DEL V\u00cdDEO<\/strong><\/p><p><strong>\u00a0<\/strong><\/p><p><br \/>####### INDEPENDENCIA LINEAL #######<\/p><p><br \/>ges(\u00abtseries\u00bb)<br \/>library(tseries)<br \/>#install.packag<br \/>#install.packages(\u00abquantmod\u00bb)<br \/>library(quantmod)<br \/>#install.packaes(\u00abfImport\u00bb)<br \/>library(fImport)<br \/>#install.packages(\u00abexpm\u00bb)<br \/>library(expm)<br \/>#install.packages(\u00abfPortfolio\u00bb)<br \/>library(fPortfolio)<br \/>#install.packages(\u00abgtools)<br \/>library(gtools)<\/p><p><br \/># &#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;-<\/p><p><br \/>#### CALCULAR EL M\u00c1XIMO DETERMINANTE DE LA MATRIX DE CORRELACIONES<\/p><p>#<\/p><p>a&lt;-c(1,0)<br \/>b&lt;-c(0,1)<br \/>matrix(c(a,b),2,2)<\/p><p><br \/>## DETERMINANTES = El determinante de una matriz es un escalar que s\u00f3lo se <br \/>#puede calcular si se trata de una matriz cuadrada,<\/p><p><br \/>### Ejemplo matriz de correlaciones<\/p><p><br \/>## Dentro de las correlaciones que haya entre nuestras variables, las vamos a ordenar<br \/># para el obtener el m\u00e1ximo determinante<\/p><p>getFX(c(\u00abEUR\/USD\u00bb,\u00bbGBP\/USD\u00bb))<\/p><p>divisas1&lt;-cbind(EURUSD,EURUSD) ### tabla eurusd<br \/>cor(divisas1)<br \/>det(cor(divisas1)) ## determinate 0 da lugar 0 maxima correlacion<\/p><p>divisas&lt;- cbind(EURUSD,GBPUSD)<\/p><p>cor(divisas)<\/p><p>det(cor(divisas)) #0.9744312 &gt; 0 Al ser esto as\u00ed llegamos a la conclusi\u00f3n <br \/># de que cuanto m\u00e1s alto es el determinante de la matriz menos es la correlaci\u00f3n o mayor<br \/>#la independencia de las variables<\/p><p>### de 15 variables yo quiero saber las 10 m\u00e1s independientes<\/p><p>CAC40=get.hist.quote(\u00ab^FCHI\u00bb,quote=\u00bbClose\u00bb,start = \u00ab2019-01-07&#8243;,end=\u00bb2020-01-07\u00bb)<br \/>DAX=get.hist.quote(\u00ab^GDAXI\u00bb,quote=\u00bbClose\u00bb,start = \u00ab2019-01-07&#8243;,end=\u00bb2020-01-07\u00bb)<br \/>#FTSEMIB=get.hist.quote(\u00abFTSEMIB.MI\u00bb,quote=\u00bbClose\u00bb,start = \u00ab2016-03-13&#8243;,end=\u00bb2017-03-13\u00bb)<br \/>FTSE=get.hist.quote(\u00ab^FTSE\u00bb,quote=\u00bbClose\u00bb,start = \u00ab2019-01-07&#8243;,end=\u00bb2020-01-07\u00bb)<br \/>SWISS=get.hist.quote(\u00ab^SSMI\u00bb,quote=\u00bbClose\u00bb,start = \u00ab2019-01-07&#8243;,end=\u00bb2020-01-07\u00bb)<br \/>IBEX=get.hist.quote(\u00ab^IBEX\u00bb,quote=\u00bbClose\u00bb,start = \u00ab2019-01-07&#8243;,end=\u00bb2020-01-07\u00bb)<br \/>BELG=get.hist.quote(\u00ab^BFX\u00bb,quote=\u00bbClose\u00bb,start = \u00ab2019-01-07&#8243;,end=\u00bb2020-01-07\u00bb)<br \/>DOW=get.hist.quote(\u00ab^DJI\u00bb,quote=\u00bbClose\u00bb,start = \u00ab2019-01-07&#8243;,end=\u00bb2020-01-07\u00bb)<br \/>NASDAQ=get.hist.quote(\u00ab^NDX\u00bb,quote=\u00bbClose\u00bb,start = \u00ab2019-01-07&#8243;,end=\u00bb2020-01-07\u00bb)<br \/>NIKKEI=get.hist.quote(\u00ab^N225&#8243;,quote=\u00bbClose\u00bb,start = \u00ab2019-01-07&#8243;,end=\u00bb2020-01-07\u00bb)<br \/>SINGAPUR=get.hist.quote(\u00ab^STI\u00bb,quote=\u00bbClose\u00bb,start = \u00ab2019-01-07&#8243;,end=\u00bb2020-01-07\u00bb)<br \/>HONG=get.hist.quote(\u00ab^HSI\u00bb,quote=\u00bbClose\u00bb,start = \u00ab2019-01-07&#8243;,end=\u00bb2020-01-07\u00bb)<br \/>SP500=get.hist.quote(\u00ab^GSPC\u00bb,quote=\u00bbClose\u00bb,start = \u00ab2019-01-07&#8243;,end=\u00bb2020-01-07\u00bb)<br \/>STOXX50=get.hist.quote(\u00ab^STOXX50E\u00bb,quote=\u00bbClose\u00bb,start = \u00ab2019-01-07&#8243;,end=\u00bb2020-01-07\u00bb)<br \/>HOLANDA&lt;- get.hist.quote(\u00ab^AEX\u00bb,quote=\u00bbClose\u00bb,start = \u00ab2019-01-07&#8243;,end=\u00bb2020-01-07\u00bb)<\/p><p><br \/>iFX=na.omit(cbind(CAC40,DAX,SWISS,IBEX,DOW,NASDAQ,NIKKEI,SINGAPUR,HONG,STOXX50,SP500,HOLANDA))<\/p><p><br \/># Sacamos los retornos, comprobamos los resultados y los multiplicamos por 100 para tenerlo todo en %<\/p><p>retornosFX = returns(iFX)<br \/>retornosFX = 100*retornosFX[ , 1:ncol(retornosFX)]<br \/>retornosFX&lt;-na.omit(retornosFX)<\/p><p>cor(retornosFX)<\/p><p><br \/># Buscamos todas las submatrices de X*X<\/p><p>subTama\u00f1o = 5<br \/>determinantes = c()<br \/>choose(ncol(iFX), subTama\u00f1o) # N\u00ba de combinaciones totales<br \/>combinaciones = combinations(ncol(iFX), subTama\u00f1o)<br \/>head(combinaciones)<\/p><p>filas = nrow(combinaciones)<br \/>progressBar = winProgressBar(title=\u00bbCalculando determinantes\u00bb, label=\u00bb0% calculado\u00bb, min=0, max=100, initial=0)<br \/>timestamp()<br \/>for (i in 1:filas) {<br \/><br \/>determinantes[i] = det(cor(iFX[,combinaciones[i,]]))<br \/>setWinProgressBar(progressBar, (i\/filas)*100, label=sprintf(\u00ab%d%% calculado\u00bb, round((i\/filas)*100)))<br \/>}<br \/>timestamp()<br \/>close(progressBar)<br \/>rm(i, subTama\u00f1o, filas)<br \/>head(determinantes)<\/p><p># Buscamos la combinaci\u00f3n de activos asociada al determinante m\u00e1s alto<\/p><p>posMax = which(determinantes == max(determinantes))<br \/>posMax<br \/>combiMax = combinaciones[posMax, ]<br \/>combiMax<\/p><p># Creamos un nuevo data.frame con los X activos que nos interesen<br \/>jFX = data.frame(retornosFX[, combiMax])<br \/>names(jFX)<\/p><p>head(iFX)<\/p><p>#iFX=na.omit(cbind(CAC40,DAX,SWISS,IBEX,DOW,NASDAQ,NIKKEI,SINGAPUR,HONG,HOLANDA))<\/p><p><strong>\u00a0<\/strong><\/p>\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t\t\t\t<\/div>\n\t\t","protected":false},"excerpt":{"rendered":"<p>\ud83d\udc4c En muchas ocasiones cuando vamos a crear alg\u00fan tipo de modelo estad\u00edstico y tenemos una gran cantidad de variables queremos saber si hay una relaci\u00f3n lineal muy fuerte entre ellas o por el contrario son independientes entre s\u00ed. \ud83d\udc68\u200d\ud83c\udfeb Dentro de las finanzas si quieres desarrollar una cartera de inversi\u00f3n y c\u00f3mo es l\u00f3gico &hellip;<\/p>\n<p class=\"read-more\"> <a class=\"\" href=\"https:\/\/ricovictor.com\/index.php\/2020\/05\/08\/independencia-entre-variables-con-matrices\/\"> <span class=\"screen-reader-text\">Independencia entre variables con matrices<\/span> Leer m\u00e1s &raquo;<\/a><\/p>\n","protected":false},"author":19,"featured_media":471,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"var(--ast-global-color-4)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"ast-content-background-meta":{"desktop":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center 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