MTS: apca – R documentation

Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!

apca

Asymptotic Principal Component Analysis

Perform asymptotic PCA for a data set. Typically for cases in which the number of variables is greater than the number of data points.

apca(da, m)

`da`	A T-by-k data set matrix, where T is the sample size and k is the dimension
`m`	The number of common factors

Perform the PCA analysis of interchanging the roles of variables and observations.

`sdev`	Square root of the eigenvalues
`factors`	The common factors
`loadings`	The loading matrix

Ruey S. Tsay

Tsay (2014, Chapter 6). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

rtn=matrix(rnorm(1200),12,100)
sp100=apca(rtn,3)

All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

v1.0

Artistic License 2.0

Authors

Ruey S. Tsay and David Wood

Initial release

2018-10-8