Theory on PCA and EFA
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.
For attribution, please cite this work as
Katzke (2025, Sept. 15). Financial Econometrics Course: Principal Component Analysis. Retrieved from https://www.fmx.nfkatzke.com/posts/2020-08-10-theory3/
BibTeX citation
@misc{katzke2025principal,
author = {Katzke, N.F.},
title = {Financial Econometrics Course: Principal Component Analysis},
url = {https://www.fmx.nfkatzke.com/posts/2020-08-10-theory3/},
year = {2025}
}