PCAPrelim function

Estimates VaR plot using principal components analysis

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

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)

Author(s)

Dinesh Acharya

References

Dowd, K. Measuring Market Risk, Wiley, 2007.