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The idea (ranking stocks by sum of the absolute value of the coefficients) is valid, but that line of code (variance explained by each component) doesn't do tha
by wjn0 8y ago
The idea (ranking stocks by sum of the absolute value of the coefficients) is valid, but that line of code (variance explained by each component) doesn't do that.
- efavdb 8y agoI think your criticism is right. In that line I was thinking about the feature selector, which does pull out 4 of the individual stocks -- these capture more than 50% of the variance in the full set. As you pointed out, that description isn't quite right for the PCA line, which uses four hybrid components.