calcPC.Vector: Create PC Component Variable

In helenristov/aCompiler: What the package does (short line)

Description

Calculates and records variables denoting the desired PC Eigenvectors' fluctuations.

Usage

calcPC.Vector(returns, dim = NULL, evMatrix = NULL)

Arguments

returns	A stationary price series whose variation through time we wish to examine.
dim	Optional input for the eigenvectors for which we wish to calculate the PC variable. If left null, then all possible vector variables will be return.
evMatrix	An optional eigenvector matrix to use in generating the PC variables.

Details

Using an given price series and an option eigenvector matrix (will create it from price series otherwise), this function will calculate the principal components' variation throughout the price series.

Author(s)

Nicholas Dregne

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