pca_weights_one_country {MultiATSM}

Weigth matrix from principal components (matrix of eigenvectors)

Description

Weigth matrix from principal components (matrix of eigenvectors)

Usage

pca_weights_one_country(Y, Economy)

Arguments

Y

matrix dimension (J x T), where J - the number of maturities and T - time series length

Economy

string-vector containg the name of one economy

Value

matrix (J x J)

Examples

data("CM_Yields")
pca_weights_one_country(Yields, Economy= "Brazil")