Thanks for all the answers! I have started already using the Kalman filter but I am still not finished because it takes some time to prepare the variables. I will also try princomp and prcomp.
So thanks a lot! Best wishes, Luba -----Ursprüngliche Nachricht----- Von: Uwe Ligges [mailto:lig...@statistik.tu-dortmund.de] Gesendet: Donnerstag, 30. Juli 2009 09:25 An: Stein, Luba (AIM SE) Cc: Andreas Hary; r-help@r-project.org Betreff: Re: [R] Similar package like SEM See ?princomp and ?prcomp Uwe Ligges Stein, Luba (AIM SE) wrote: > 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:andreash...@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.st...@allianz.com<mailto:luba.st...@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]] > > ______________________________________________ > 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. ______________________________________________ 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.
