Quant analytics: PCA Tutorial quantturk.com

Quant analytics: PCA Tutorial  quantturk.com Principal Component Analysis is widely used in finance industry for interest rate shocks. The attached is a nice turtorial to understand what PCA is about by Lindsay I… —- You might be interested in Independent Component Analysis Here is a tutorial http://cis.legacy.ics.tkk.fi/aapo/papers/IJCNN99_tutorialweb/ There have been several papers on use in …

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