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ICr suggests as many factors as variables, despite a very strong first component

Open ffabio-econ opened this issue 1 year ago • 0 comments

The issue is explained in details here: https://stats.stackexchange.com/questions/657587/weird-results-from-bai-ng-pcs-selection-criteria-implementation-of-dfms-on-r

As the title suggests, with some temperatures data I get that I should keep as many components as variables, despite a first principal component explaining around 80% of the variance... I don't understand where the problem comes from.

ffabio-econ avatar Nov 21 '24 11:11 ffabio-econ