The pca tag has no wiki summary.
3
votes
0answers
102 views
PCA Variances and Principal Portfolio Variances
In Meucci's paper called "Managing Diversification" he mentions that:
"Indeed, the eigenvalues A correspond to the variances of these uncorrelated portfolios"
I tried to replicate it but found they ...
3
votes
0answers
81 views
Estimating two normal random numbers with one equation
Subtitle: Estimating the correlation of the shocks driving two commodities in
two multi-factor models
I am fitting two 2-factor models to electricity and gas futures, respectively.
In order to ...
2
votes
0answers
84 views
How replicate data using PCA
I have a set of date covering petrol prices.
My example has two columns where each row represents a sequential date.
...
