We’ve obviously spent quite a bit of time analyzing the effect of the weird and incorrect MBH principal components method on red noise series. We’ve not argued that doing the principal components calculation correctly necessarily results in a meaningful index, only that doing it incorrectly cannot result in a meaningful index. One thing that I […]
Category Archives: Multivariate
TCO has inquired about whether there is a legitimate purpose for using off-center PCs. I can’t think of any valid purpose. Here’s a good reason why not from our E&E article, where we showed how the MBH algorithm turned series upside down if it improved the hockey stick fit. Here’s how we wrote it up.
This is an interesting and amusing comment on factor analysis, a technique very closely related to principal component analysis: J. Scott Armstrong, Derivation of Theory by Means of Factor Analysis or Tom Swift and His Electric Factor Analysis Machine, The American Statistician, 1967, 17-21 Link