Accuracy of time-series representations.

Error in time-series reproduction using the random factor model (dashed gray curve) and PCA (black solid curve) measured by RMSE (top panel), where curves are shown as functions of the number of factors. Error in reproduction of time-series volatility using the random factor model (dashed gray curve) and PCA (black solid curve) as a function of the number of factors (bottom panel). Errors are relative to the volatility of the time-series due to normalization.