correlation matrix - PCA on term structure of interest rates

Interest rate time series seems to be non-stationary whenever test is performed

But covariance or correlation matrix is derived from term structure time series which are non stationary and later PCA is performed on that covariance or correlation matrix.

Is it appropriate to derive Covariance or correlation matrix from non stationary series and use it for PCA?

Applying Kalman filter on term structure of interest rates is any better than PCA?

Answer

If you look at changes of the points on the yield curve, then you probably find something stationary - right? Applying PCA on the covariance of these changes makes sense.

E.g. you will find out that on PC describes a parallel shift (a change in the yield curve). Look at this question too: What do eigenvalues/eigenvectors of the yield/forward rates covariance matrices mean?