Principal Component Analysis

Theory on PCA and EFA


Author

Affiliation

N.F. Katzke

 

Published

Aug. 29, 2024

Citation

Katzke, 2024


In this theory session we discuss dimension reduction techniques.

The theory discussed here is introductory and not meant to be exhaustive. Interested readers should delve more into the topic that warranted here.

A detailed practical as well as a bonus application practical accompanies this theory session.

Footnotes

    Citation

    For attribution, please cite this work as

    Katzke (2024, Aug. 30). Financial Econometrics Course: Principal Component Analysis. Retrieved from https://www.fmx.nfkatzke.com/posts/2020-08-10-theory3/

    BibTeX citation

    @misc{katzke2024principal,
      author = {Katzke, N.F.},
      title = {Financial Econometrics Course: Principal Component Analysis},
      url = {https://www.fmx.nfkatzke.com/posts/2020-08-10-theory3/},
      year = {2024}
    }