S3E03: Principal Components Analysis is your PAL
Quantitude
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The Cost of a Principal Components Model
A principal components model is based on the correlation matrixas gregg and i've been talking about, their ones on the diagonal. The weights that an obtained through the igen vectors member are not necessarily the weights that we want if we believe a common factor model to exist. It's kind of like a ptolemaic versus copernican universe to me. Ptolemy had an understandable desire to not be burned at the stake weene.
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