Synopsis of support: Significant T-tests and Principal Component Analysis
Single distribution vs Mixture of Distributions
Single distribution vs Mixture of Distributions
Shaded in green are significant T-tests by row and column for the following data sets: 0) 120 trade days, 2) 60 trade days offset 0 and 3) 60 trade days offset 1 trade day. Significant at alpha = 10% with some significant at 5%.
Principal Component Analysis
Principal Component Analysis
The maximal eigenvalues and associated principal eigenvector are shown by trade date order for a moving 60 trade day window. Of note, wherever we see the simultaneous negation of the principle eigenvector coefficients from prior measurement, a retrospective change point has been detected.