Blending Independent Components and Principal Components Analysis

4. Blending together PCA and ICA in the construction of risk models

[this page | pdf | references | back links | custom searches]

Return to Abstract and Contents

Next page


Section contents


4.1   Similarities between PCA and ICA

4.2   Different blended importance criteria

4.3   Time-varying volatility

4.4   Caveats


Contents | Prev | Next

Desktop view | Switch to Mobile