Using PCA to fill in missing data

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DrReliability
Posts: 1
Joined: Thu Feb 10, 2011 5:09 pm

Using PCA to fill in missing data

Postby DrReliability » Thu Feb 10, 2011 5:19 pm

Hi Carol,
I remembered reading in your book, vol 1, that PCA can be used to fill in missing data. However, it was not illustrated with examples. Can you point me to some resources how it can be used for that purpose and if there may be an example (e.g. using Excel) somewhere that I can see a demonstration of the application. Thank you very much.

coalexander
Posts: 815
Joined: Sun Sep 28, 2008 10:30 pm

Re: Using PCA to fill in missing data

Postby coalexander » Thu Feb 10, 2011 8:08 pm

Hi

I have had a few questions about this - wish I had included it in Vol I. It is in Market Models, with a spreadsheet. I'll try to see if I can post a doc and excel on this forum, 'cos most people won;t have Market Models (its 10 years old)...hang on, C x

coalexander
Posts: 815
Joined: Sun Sep 28, 2008 10:30 pm

Re: Using PCA to fill in missing data

Postby coalexander » Thu Feb 10, 2011 8:34 pm

Sorry, the Excel is not interactive...but the word doc at least explains the idea. Carol

c0ldlimit
Posts: 1
Joined: Wed Oct 24, 2012 10:52 pm

Re: Using PCA to fill in missing data

Postby c0ldlimit » Thu Oct 25, 2012 4:44 pm

Hi Carol!

How can I find this attachement (word doc)? It does not seem to be displayed in your post.

Thank you!


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