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	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)

MultiATSM documentation built on April 4, 2025, 1:40 a.m.