Weighted PCA

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PaulvanErp
Posts: 3
Joined: Thu Sep 19, 2013 2:01 am

Weighted PCA

Postby PaulvanErp » Thu Sep 19, 2013 2:09 am

Hi,

I want to include a (self-defined) weighting matrix in PCA. However, this is not possible using the standard PCA method available in Eviews 6. Is it possible to get the PCA code so that I can include a weighting matrix myself?

Regards,

Paul
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EViews Glenn
EViews Developer
Posts: 2682
Joined: Wed Oct 15, 2008 9:17 am

Re: Weighted PCA

Postby EViews Glenn » Thu Sep 19, 2013 10:35 am

Unfortunately not. Though you might be able to take your loadings and eigenvalues and construct the corresponding matrix, then do PC on that matrix.
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