Description Usage Arguments Details Value
View source: R/momentum_prediction.R
Returns a list with two sublists: values and vectors. For i >= 3, the ith values and vectors are the eigenvalue decomposition of the covariance matrix where we treat the first i-1 rows as observations and the columns as variables.
1 | compute_price_relatives_eigen(price_relative_matrix)
|
price_relative_matrix |
A matrix of price relatives with at least three rows. |
For i=1,2 The values are all one and the vectors form the identity matrix
A list with two sublists, see description for details
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