Dimension Reduction Techniques applied in R
This practical is divided into two parts.
First I show you how to fit PCA and factor analysis models in R.
Second, we do a practical application on currency data - fitting a linear regression using the components derived from the reduced dimension.
For attribution, please cite this work as
Katzke (2024, Sept. 9). Financial Econometrics Course: Principal Component Analysis. Retrieved from https://www.fmx.nfkatzke.com/posts/2020-08-15-practical-4/
BibTeX citation
@misc{katzke2024principal,
author = {Katzke, N.F.},
title = {Financial Econometrics Course: Principal Component Analysis},
url = {https://www.fmx.nfkatzke.com/posts/2020-08-15-practical-4/},
year = {2024}
}