apca function

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)

Arguments

• 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

Details

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

Returns

• sdev: Square root of the eigenvalues

• factors: The common factors

• loadings: The loading matrix

References

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

Author(s)

Ruey S. Tsay

Examples

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