What is the correct method of application of Principal Component Analysis (PCA) on time series data? Since the time series may exhibit conditional heteroscedasticity, application of normal PCA might be wrong as the variance changes with time. At some places, preprocessing the financial time series with logarithm(.) is mentioned. Is it correct for every kind of time series.

  • $\begingroup$ You might get a better answer asking on cross validated. But the shortest answer is- "it's complicated". $\endgroup$ – aginensky Jan 20 at 16:19

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