highdimensional

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junhao7622 / Instrumented-Principal-Components-Analysis-Replication

A Python toolkit for replicating IPCA asset pricing tests and factor comparisons from Kelly, Pruitt & Su (2019, JFE). Users can substitute their own stock return and characteristic data to verify results across different datasets.

machine-learning statistics quantitative-finance principal-component-analysis highdimensional

Updated Oct 31, 2025
Python

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