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PCA in financial time series
Posted: Mon Jul 28, 2014 2:01 am
by fan
Hi Tom,
I am trying to apply PCA to the time series data I have. I am not familiar with the procedures in Rats. Particularly, I would like to how to save and plot the factors. Is there any good example I can read? Thanks
Re: PCA in financial time series
Posted: Mon Jul 28, 2014 10:47 am
by TomDoan
See Tsay examples TSAYP485.RPF, TSAYP493.RPF and TSAYP500.RPF.
Re: PCA in financial time series
Posted: Tue Aug 05, 2014 4:27 am
by fan
TomDoan wrote:See Tsay examples TSAYP485.RPF, TSAYP493.RPF and TSAYP500.RPF.
Thanks for the examples. One question in my mind now is that how I can obtain the factor returns in example TSAYP485.RPF.
Re: PCA in financial time series
Posted: Wed Aug 06, 2014 11:18 am
by TomDoan
The factors are computed from the raw data using the columns of the eigenvectors so you would have to save those (VECTORS option) and build the factors. The @PRINCOMP procedure is designed more for going from data to data rather than analyzing just the covariance or correlation matrix.