It is generally recommended that PCA be applied to time series that are stationary. Plot the first
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Another way to check for stationarity is to run the augmented Dickey-Fuller test. You can do that with the following code:
library("tseries")
adf.test(yieldDat[,1])
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Related Book For
Statistics And Data Analysis For Financial Engineering
ISBN: 9781461427490
1st Edition
Authors: David Ruppert
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