PCA_Create: Create PCA Matrix
In helenristov/aCompiler: What the package does (short line)

Description Usage Arguments Details Author(s)

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

1	PCA_Create(OR_Cov, Dimension)

`OR_Cov`	A covariance matrix of outright contracts.
`Dimension`	The number of eigenvectors to return.

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.

Nicholas Dregne

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