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PCA no stretching?

Posted: Wed Jun 08, 2022 12:47 pm
by dh44hello
HI LazyProgrammer,

In your "Statistical Factor Models and Unsupervised Machine Learning" lectures, you mention that PCA transformations should not stretch; they should only rotate.
I was hoping to understand the reason for that, if you could elaborate a little bit.

(I tried posting this question on the Financial Engineering forum, but there, it says "you cannot post in this forum."

Thanks

Re: PCA no stretching?

Posted: Thu Jun 09, 2022 4:13 am
by lazyprogrammer
Thanks for your inquiry.

The reason is purely mathematical. If you want to learn the actual details of PCA, I'd recommend looking at the course "Unsupervised Deep Learning in Python" where this is discussed in detail.

In the Finance course the section on PCA is only meant to look at the main high-level points.

And thanks for letting me know about the inability to post; I believe that is fixed now.

Re: PCA no stretching?

Posted: Thu Jun 09, 2022 12:52 pm
by dh44hello
Will do. Thanks, LazyProgrammer.