PCAPrelim: Estimates VaR plot using principal components analysis

In Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk

Description

Estimates VaR plot using principal components analysis

Usage

PCAPrelim(Ra)

Arguments

Ra	Matrix return data set where each row is interpreted as a set of daily observations, and each column as the returns to each position in a portfolio position

Author(s)

Dinesh Acharya

References

Dowd, K. Measuring Market Risk, Wiley, 2007.

Examples

# Computes PCA Prelim
   # This code was based on Dowd's code and similar to Dowd's code,
   # it is inconsistent for non-scalar data (Ra).
   library(MASS)
   Ra <- .15
   PCAPrelim(Ra)

Dowd documentation built on May 2, 2019, 10:16 a.m.