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 - IID - Document - PDFSEARCH.IO

First Page	Meta Content
	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 Document Date: 2016-06-23 15:50:48 Open Document File Size: 10,16 KB Share Result on Facebook

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 theAdd to Reading List