pca_weights_one_country {MultiATSM} | R Documentation |
Computes the PCA weights for a single country
Description
Computes the PCA weights for a single country
Usage
pca_weights_one_country(Yields, Economy)
Arguments
Yields |
A matrix of bond yields (J x T) for a single country, where J is the number of maturities and T is the time series length. |
Economy |
A character string indicating the name of the economy. |
Value
A matrix (J x J) that corresponds to the eigenvectors of the variance-covariance matrix of yields
Examples
data(CM_Yields)
Economy <- "Mexico"
pca_weights <- pca_weights_one_country(Yields, Economy)
[Package MultiATSM version 1.3.1 Index]