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Principal Component Analysis

Eigenvalues and eigenvectors have numerous applications in financial risk management.

-          Correct Positive Definiteness of time series data. 

-          Validate and increase quality of Time Series data.

-          Extract structural properties from Principal Components.

-          Extract cross-explanatory variables for Factor Analysis.

-          Enhance Monte-Carlo speed and accuracy.

-          Compute Marginal probability densities.

View Application Note

Excel C++ Add-in and Demo Spreadsheet with application manual and on-line help.

Download Princo Zip File

Zip file includes: Princo.xll (Add-In), spreadsheet, on-line help and application example.

Download Individual Components:

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