The theoretical justifications for Principal Component Analysis (PCA) typically assume that the data is IID over the estimation window. In practice, this assumption is routinely violated in financial data. We examine the

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Date: 2016-06-23 15:50:48		The theoretical justifications for Principal Component Analysis (PCA) typically assume that the data is IID over the estimation window. In practice, this assumption is routinely violated in financial data. We examine the Add to Reading List Source URL: mmds-data.org Download Document from Source Website File Size: 10,16 KB Share Document on Facebook