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Tagged with moving-window pca
3 questions
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Good book / resource for learning about moving window PCA?
I would like recommendations on textbooks (or online resources) covering MWPCA theoretically and with application examples (preferably in R, but also in Python, Mathematica, Matlab).
A brief intro:
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4
votes
1
answer
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Moving window PCA vs local PCA vs kernel PCA vs rolling PCA
All all these terms mean the same thing?
Are there other terms for MWPCA?
Are there any decent online references to theory and applications?
Which term is most popular (if they are equivalent)?
I'm ...
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22
votes
3
answers
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I'm getting "jumpy" loadings in rollapply PCA in R. Can I fix it?
I have 10 years of daily returns data for 28 different currencies. I wish to extract the first principal component, but rather than operate PCA on the whole 10 years, I want to rollapply a 2 year ...
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