apca | R Documentation |
Perform asymptotic PCA for a data set. Typically for cases in which the number of variables is greater than the number of data points.
apca(da, m)
da |
A T-by-k data set matrix, where T is the sample size and k is the dimension |
m |
The number of common factors |
Perform the PCA analysis of interchanging the roles of variables and observations.
sdev |
Square root of the eigenvalues |
factors |
The common factors |
loadings |
The loading matrix |
Ruey S. Tsay
Tsay (2014, Chapter 6). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.
rtn=matrix(rnorm(1200),12,100) sp100=apca(rtn,3)
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