I am currently trying to perform PCA on time series data and I'm having some confusion. I need to make my data stationary first before I can perform PCA on it and here is the confusion.
I have 128 observations for each time series but some time series require second differencing while some others require just a single one. So after differencing, the resulted time series will be of different length (126 and 127).
Then how do I get $n \times t$ matrix since some observations are missing from the differencing?