Re: time series and principal components

Posted by Art Kendall on Jan 05, 2022; 7:01pm
URL: http://spssx-discussion.165.s1.nabble.com/time-series-and-principal-components-tp5740917p5740936.html

That is what I wanted to know.  What was the input to PCA?  What was the purpose?

If the article is re-submitted, hopefully those questions will be answered.

When I get a Round Tuit, I'll see if anybody has developed parallel analysis for time series.  YMMV but I have found parallel analysis very useful in ball parking the number of dimensions to retain.  After parallel analysis became available, I went back to several data sets where I had used, Montanelli, scree, and meaning to determine the number of factors (dimensions) to retain.   I then made a new rule of thumb to look at keeping the number of factors around where the eigenvalues from the actual data exceeded those from randomized data by 1.