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Bayesian Methods Working Party

Background 3 types of PCA Industry PCA ICA vs PCA ICA for yield curves Aims Challenges Various Approaches PC Aligned Priors Example Priors Why Bayesian Artificial Data Inverse Calculation Solution Process Notation Priors Classical PCA 1 Raw Spot Data 2 Rectangular Matrix 3 Clean Data 4. Truncate 6. Covariance Matrix Bayesian PCA Checks Classical PCA Step 1 Concerns Layperson Explanation Appendices Conference Questions Glossary