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Download Now!Principal Component Analysis PCA
Submitter: vanna Date: 2007/4/17
Description:
Factor Loadings for US Interest rates (PCA analysis)

This spreadsheet implements PCA class module which can be used in the
following way to do PCA on a time series data:

Dim pcaObj As New PCA
pcaObj.LoadTimeSeries diffMat 'diffMat is input time series
'pcaObj.eigenVectorsMat_ is sorted Eigen Vectors matrix
'pcaObj.eigenValuesVec_ is sorted Eigen Values vector

PCA class is based on Jacobi eigenvalue algorithm as described in Wikepedia

Market data was obtained for 3m to 30y interest rates using the following steps:

1.Goto Federal reserve page
2.Press "Go To Download" button
3.Press "Download File" button
4.Copy data from FRB_H15.csv file and paste data range into "rates" sheet
Downloaded 14526 times  14526  File Size 0 bytes  Supported Platforms Excel VBA  Home Page http://www.quantcode.com/
Rating: 9.00 (5 votes)
Rate this File | Modify | Delete | Report Broken File | Tell a Friend | Comments (103)

Poster Thread
Anonymous
Posted: 2010/10/28 6:20  Updated: 2010/10/28 6:20
 Re: Principal Component Analysis PCA
Thank you ; it is a great help.
Gaurang Mehta

Poster Thread
Anonymous
Posted: 2011/4/1 17:41  Updated: 2011/4/1 17:41
 Principal Component Analysis PCA
May I kindly ask what is your goal in making this PCA analysis for this interest data?

Poster Thread
Anonymous
Posted: 2011/6/2 13:39  Updated: 2011/6/2 13:39
 Principal Component Analysis PCA
Yeah it is such a weird example. I conclude that none of the components can really be excluded and that the short term investment (component 1) is the source to most of the variance.

Poster Thread
Anonymous
Posted: 2011/9/26 6:50  Updated: 2011/9/27 22:53
 Principal Component Analysis PCA
Hello there: How should I use both eigenvalues and vectors to get the covariance matrix? The product of the eigenvector matrix on the diagonal eigenvalues matrix, and then on the transpose of the eigenvectors matrix looks far distant from a the actual covariance matrix.

Poster Thread
Anonymous
Posted: 2012/1/25 22:04  Updated: 2012/1/28 18:43
 Principal Component Analysis PCA
Do you need something specific in excel to start the PCA? I have it open in excel as well as your file and excel won't allow me to start it. Everything in the toolbar is "greyed" out. Any help would be great.

Poster Thread
Anonymous
Posted: 2012/1/25 22:24  Updated: 2012/1/28 18:35
 Principal Component Analysis PCA
Do you need something specific in excel to start the PCA? I have it open in excel as well as your file and excel won't allow me to start it. Everything in the toolbar is "greyed" out. Any help would be great.
Similar Links:
Principal Component Analysis (Link)
A Tutorial on Principal Component Analysis (Paper)
Tutorial on Principal Component analysis of Wiener process (Software)
Principal Component Analysis of Volatility Smiles and Skews (Paper)
Cointegration analysis and complex eigen values (Forum)

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