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by johng17
Wed Sep 19, 2018 8:41 am
Forum: Programming
Topic: Rolling principal component -- standardized variables
Replies: 1
Views: 1692

Rolling principal component -- standardized variables

Hi, I have coded a rolling principal component analysis, and want to check to make sure that each series used in the PCA is standardized appropriately in the rolling windows (i.e. using each window's sample mean and standard deviation). Looking at the Eviews guide and in the forum, it seems like thi...

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