Bayesian PCA with one informative prior

1. the process of turning a given yield curve into a set of component scores

39. To look at in the future:

40. no arbitrage constraints I am particularly concerned by this paper link which states arbitrage opportunities in PCA and gives examples leading to lower capital requirements when mis-matching ... although to be fair would need to recreate the analysis to see for myself that the point raised is correct.

49. why do all of this ? 49. 50.

Soundbites

• why use bayesian PCA: the posterior probabilities are proportional to the prior probabilities and the likelihoods