. Author manuscript; available in PMC: 2015 Jan 1.

Published in final edited form as: J Am Stat Assoc. 2014 Mar 19;109(505):275–287. doi: 10.1080/01621459.2013.844699

Table 4.

The categories of the nonzero terms in the top four leading eigenvectors calculated by the four competing methods. The abbreviations are listed in Table 3. (Note: 30F means 30 stocks are from the Financials category.)

Method	PC1	PC2	PC3	PC4
Pearson	29F,1I	6CD,5F,8I,1IT,10M	8F,2E,3M,17U	8CD,1F,1I,20IT
S_n	29F,1I	2CD,2F,12I,14M	3I,27IT	3F,27U
Q_n	29F,1I	2CD,2F,12I,1IT,13M	2I,28IT	3F,27U
Kendall	30F	15I, 15M	10CD, 10F,10I	3I, 27IT