Book: Statistics and Data Analysis for Financial Engineering

Problems #3 (p.548)

Do you think the first column of delta yield is stationary? Why or why not?

Run the following code to perform a PCA using the function princomp(), which is similar, although not identical, to prcomp(). By default, princomp() does a PCA on the covariance matrix, though there is an option to use the correlation matrix instead. We will use the covariance matrix. The second line of the code will print the names of the components in the object that is returned by princomp(). As you can see, the names function can be useful for learning just what is being returned. You can also get this information by typing ?princomp.

 pca_del = princomp(delta_yield) names(pca_del) summary(pca_del) par(mfrow = c(1, 1) plot(pca_del) 

Thank you