pca_weights_one_country {MultiATSM} | R Documentation |
Weight matrix from principal components
Description
Weight matrix from principal components
Usage
pca_weights_one_country(Y, Economy)
Arguments
Y |
A numeric matrix (T x J) representing the time series of bond yields of a specific country |
Economy |
String-vector containing the name of a single economy. |
Value
A matrix (J x J) that corresponds to the eigenvectors of the variance-covariance matrix of yields
Examples
data("CM_Yields")
pca_weights_one_country(Yields, Economy= "Brazil")
[Package MultiATSM version 1.1.0 Index]