例8.3[例7.1续](因子分析).pptVIP

例8.3 [例7.1续](因子分析)xi ：5支股票的周回报率 x1 ：JP Morgan x2 ：Citibank x3 ：Wells Fargo x4 ：Royal Dutch Shell x5 ：ExxonMobil m=1m=2F1特殊方差F1F2特殊方差x10.7320.460.732-0.4370.27x20.8310.310.831-0.2800.23x30.7260.470.726-0.3740.33x40.6050.630.6050.6940.15x50.5630.680.5630.7190.17累计贡献率0.4870.4870.769因子载荷主成分估计以及特殊方差 极大似然估计旋转估计F1F2F1*F2*特殊方差x10.1150.7550.7630.0240.42x20.3220.7880.8210.2270.27x30.1820.6520.6690.1040.54x41.000-0.0000.1180.9930.00x50.6830.0320.1130.6750.53累计贡献率0.3230.6470.3460.647(1) 因子载荷极大似然估计以及旋转