I am running PCA on time series data that has returns for a particular stock. Usually, when I run PCA for non-financial data I always scale the data with some R command like prcomp(data,scale=TRUE). However, I believe that returns data is scaled to a certain level. So when using returns data should my command be prcomp(returns,scale=False)?
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Bobe Kryant
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1I think you will find the information you need in the linked thread. Please read it. If it isn't what you're want / you still have a question afterwards, come back here & edit your question to state what you learned & what you still need to know. Then we can provide the information you need without just duplicating material elsewhere that already didn't help you. – gung - Reinstate Monica Sep 24 '15 at 06:43