PCAPrelim {Dowd} | R Documentation |
Estimates VaR plot using principal components analysis
Description
Estimates VaR plot using principal components analysis
Usage
PCAPrelim(Ra)
Arguments
Ra |
Matrix return data set where each row is interpreted as a set of daily observations, and each column as the returns to each position in a portfolio position |
Author(s)
Dinesh Acharya
References
Dowd, K. Measuring Market Risk, Wiley, 2007.
Examples
# Computes PCA Prelim
# This code was based on Dowd's code and similar to Dowd's code,
# it is inconsistent for non-scalar data (Ra).
library(MASS)
Ra <- .15
PCAPrelim(Ra)
[Package Dowd version 0.12 Index]