pca_weights_one_country: Computes the PCA weights for a single country

In MultiATSM: Multicountry Term Structure of Interest Rates Models

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	matrix (J x Td). Bond yields for a single country.
Economy	character. Name of the economy.

Value

matrix (J x J). Eigenvectors of the variance-covariance matrix of yields.

General Notation

• Td: model time series dimension

• J: number of bond yields per country used in estimation

Examples

data(Yields)
Economy <- "Mexico"
pca_weights <- pca_weights_one_country(Yields, Economy)

MultiATSM documentation built on Nov. 5, 2025, 7:01 p.m.