How do I transform standardized values to ordinary non-standardized values?

I have a question related to a PCA. It involves the target or desired value and projected forecast:

  • The PCA gives excellent PC Values, but they are centered around zero since they are standardized.
  • All desired/target are positive since the markets only have positive values.

What I did is: (1) using the PC values time series, I modeled and created a forecast for each one separately. Next, (2) Using the loadings (weights) and the PC forecast values, I computed the corresponding values for each input valriable, but the values are standardized. My question is how to transform standardized predicted values back to ordinary non standardized form? Maybe use Excel functions?

Have more questions? Submit a request

1 Comments

  • 0
    Avatar
    Support Team

    Standardization is done by subtracting the average and dividing the difference by the standard deviation.

    To reverse the effect:

    1. Compute the average and the standard deviation of each series
    2. For the forecast value you get from the your models:
    3. Multiply the forecast value of the standardized input  by the standard deviation calculated in the original series (step 1)
    4. Add the average (computed in step 1) to the product above (step 2.1)

    This should take care of the scaling (de-standardization) issue. You can do this in Excel using StaDev and average functions.