PCAPrelim: 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
# 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)