## This work is licensed under the Creative Commons ## Attribution-ShareAlike 3.0 Unported License. To view a copy of this ## license, visit http://creativecommons.org/licenses/by-sa/3.0/ or send ## a letter to Creative Commons, 444 Castro Street, Suite 900, Mountain ## View, California, 94041, USA. ## Copyright (c) 2011: Thomas Rusch and Norbert Walchofer #demo k <- 3 A <- matrix(c(1,2,3,4,3,2,1,4,2,1,4,3,2,1,5,2,3,4,3,3,1),nrow=3,byrow=TRUE) Sigma <- t(A)%*%A test1 <- spca_approx2(dat=A,k=3) test1 #get data require(quantmod) getSymbols("AEG",src="yahoo") # from google finance getSymbols("AI",src="yahoo") # from yahoo finance getSymbols("ALU",src="yahoo") # from google finance #getSymbols("AZ",src="yahoo") # from yahoo finance getSymbols("MT",src="yahoo") # from google finance getSymbols("G",src="yahoo") # from yahoo finance getSymbols("CS",src="yahoo") # from google finance getSymbols("STD",src="yahoo") # from yahoo finance getSymbols("BAS",src="yahoo") # from google finance getSymbols("BAYN",src="yahoo") # from yahoo finance getSymbols("BBVA",src="yahoo") # from google finance #getSymbols("BNP",src="yahoo") # from yahoo finance getSymbols("CA",src="yahoo") # from google finance #getSymbols("ACA",src="yahoo") # from yahoo finance #getSymbols("DAI",src="yahoo") # from google finance getSymbols("DB",src="yahoo") # from yahoo finance #getSymbols("DB1",src="yahoo") # from yahoo finance getSymbols("DTE",src="yahoo") # from yahoo finance #getSymbols("EOAN",src="google") # from google finance #getSymbols("ENEL",src="yahoo") # from yahoo finance getSymbols("ENI",src="yahoo") # from google finance getSymbols("NOK",src="yahoo") # from yahoo finance fin.dat <- cbind(AEG[,4],AI[,4],ALU[,4],MT[,4],G[,4],CS[,4],STD[,4],BAS[,4],BAYN[,4],BBVA[,4],CA[,4],DB[,4],DTE[,4],ENI[,4],NOK[,4]) Sigma <- t(finDat%*%finDat) vars <- colSums(Sigma*diag(15)) Sig1 <- Sigma[,order(vars,decreasing=TRUE)] Sig2 <- Sig1[order(vars,decreasing=TRUE),] Sig2 write.csv(res.spca$Sigma,file="FinSigma.csv",col.names=FALSE,row.names=FALSE) write.csv(res.spca$A,file="FinA.csv",col.names=FALSE,row.names=FALSE)