I want to apply the eigenvectors which I have acquired from one data to another, my question is, before projecting the eigenvectors to get the principal components of second data frame, should I standardize the second data frame first?
I have used the sklearn package to conduct PCA of stock returns in year 1 dataframe. Having acquired the eigenvectors from this, I want to get the principal components of year 2 data and run a regression of year 2 principal components explaining a dependant variable in year 2 dataframe. I have acquired the eigenvectors using the pca.components_ and now want to get the principal components from the year 2 dataframe.
Thank you so much in advance.
