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Dimensionality reduction refers to techniques for reducing many variables into a smaller number while keeping as much information as possible. One prominent method is [tag pca]

2 votes
1 answer
1k views

How to choose variables for regression

I have a dataset of long/short equity hedge funds returns and their associated benchmarks (market indices). I need to form multiple regression on the fund returns using the benchmarks returns as ind …
JungleDiff's user avatar
0 votes
1 answer
447 views

Including the dependent variable in your data to perform principal component analysis?

Let's say you have a data set with GPA (dependent variable) and Amount of alcohol, Amount of study, IQ, and SAT score as the independent variables. And you want to perform the principal component anal …
JungleDiff's user avatar