PCA_Create: Create PCA Matrix

Description Usage Arguments Details Author(s)

Description

Calculates and records a matrix comprising of the principal component eigenvalues and eigenvectors.

Usage

1
PCA_Create(OR_Cov, Dimension)

Arguments

OR_Cov

A covariance matrix of outright contracts.

Dimension

The number of eigenvectors to return.

Details

Using an given outright covariance and a specified number of dimensions to use, this function will calculate the principal components returning a matrix with the first column corresponding to the eigenvalues and the remaining columns the prespecified number of eigenvectors.

Author(s)

Nicholas Dregne


helenristov/aCompiler documentation built on May 3, 2019, 9:40 p.m.