Yes thank you, as far as I understood your proposal it would lead to a similar
result. Is there a good package in order to do principal component analysis?
Best wishes,
Luba
________________________________
Von: Andreas Hary [mailto:andreashary@googlemail.com]
Gesendet: Mittwoch, 29. Juli 2009 18:21
An: Stein, Luba (AIM SE)
Betreff: Re: [R] Similar package like SEM
Are you trying to build forward or yield curves by any chance? Consider using
principal components on the log-differences of your yield-curve time series.
That sort of gives you something like latent variables. You'll get a bunch
of stationary random processes together with factor loadings for your
maturities. You can then draw MC-samples from these processes to simulate future
yield curves ... if that is indeed what you are after ...
Best wishes,
Andreas
On Wed, Jul 29, 2009 at 1:20 PM, Stein, Luba (AIM SE)
<LUBA.STEIN@allianz.com<mailto:LUBA.STEIN@allianz.com>> wrote:
Hello,
is there a similar package like SEM. In fact, I am looking for a package where I
as input several given vector variables which are part of an autoregressive
model.
Then I would like to obtan parameters for so called latent variables.
Thank you,
Luba
[[alternative HTML version deleted]]
______________________________________________
R-help@r-project.org<mailto:R-help@r-project.org> mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
[[alternative HTML version deleted]]