Recent content by JBM_1990

  1. J

    Moving Window Principal Component Analysis

    Hi, I'm finishing my thesis we're I'm forming currency-hedge investment portfolios out of the PCA on the currencies. I need to do a PCA using a "moving-window" of the previous 60 months of data, throughout my entire data-set. If you want the "pseudo-code" is: -Run PCA using previous...