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]