Robust yield-curve factor extraction
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observations: 520
maturities: 10
retained components: 3
robust explained variance: 0.985
robust subspace error: 0.022
empirical subspace error: 0.375
median score distance, ordinary days: 1.538
median score distance, large factor moves: 4.493
median orthogonal distance, ordinary days: 0.457
median orthogonal distance, quote dislocations: 7.994
median score/orthogonal distance, mixed stress: 5.485 / 6.308
