I have question regarding final loading of data back to original variables.
So for example:
I have 10 variable from a,b,c....j using returns for last 300 days i got return matrix of 300 X 10. Further I have normalized returns and calculated covariance matrix of 10 X 10. Now I have calculated eigen values and eigen vectors, So I have vector of 10 X 1 and 10 X 10 corresponding eigen values. Screeplot says that 5 component explain 80% of variation so now there are 5 eigenvectors and corresponding eigenvalues.
Now further how to load them back to original variable and how can i conclude which of the variable from a,b,c.....j explain the maximum variation at time "t"