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Discriminant Analysis, Factor Analysis, and Principal Component Analysis: Theory, Method, and Applications

In: HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING

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  • Cheng Few Lee

Abstract

In this chapter, we first discuss the basic concepts of linear algebra and linear combination and its distribution. Then we discuss the concepts of vectors, matrices, and their operations. Linear-equation system and its solution are also explored in detail. Based upon this information, we discuss discriminant analysis, factor analysis, and principal component analysis. Some applications of these three analyses are also demonstrated.

Suggested Citation

  • Cheng Few Lee, 2020. "Discriminant Analysis, Factor Analysis, and Principal Component Analysis: Theory, Method, and Applications," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 77, pages 2599-2633, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811202391_0077
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    More about this item

    Keywords

    Financial Econometrics; Financial Mathematics; Financial Statistics; Financial Technology; Machine Learning; Covariance Regression; Cluster Effect; Option Bound; Dynamic Capital Budgeting; Big Data;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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