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S2E36: A Fireside History of Quant, Part 2

Quantitude

CHAPTER

The Highlight of Teaching a Multi-Variable Course

In the early 30s, 1933, he developed principal components analysis. Principal components is not a factor analysis model. What it does is it uses a brilliant form of eigenvalues and eigenvectors of a correlation matrix to get optimal weighted combinations of your variables that form these components.

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