Principal Components and Independent Components

Extreme events: blending PCA and ICA [22]

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Bullet points include: PCA, Blended PCA/ICA, c.f. ICA. Component, StdDev, Kurt, Criterion, StdDev, Kurt, Criterion, StdDev, Kurt. Av (top 6). Av (all 23). Sizes of ‘1 in 200’ events potentially underestimated by PCA by 4- or 5-fold. If portfolio built on the basis of ‘meaning’ (e.g. if actively managed)

Bullet points include: PCA, Blended PCA/ICA, c.f. ICA. Component, StdDev, Kurt, Criterion, StdDev, Kurt, Criterion, StdDev, Kurt. Av (top 6). Av (all 23). Sizes of ‘1 in 200’ events potentially underestimated by PCA by 4- or 5-fold. If portfolio built on the basis of ‘meaning’ (e.g. if actively managed)

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