pricesSP50 {gdpc} | R Documentation |
Fifty series corresponding to the stock prices of the first 50 components of the Standard&Poor's 500 index. Five hundred daily observations starting 1/1/2010.
data(pricesSP50)
A matrix time series with 500 observations on the stock prices of the first 50 components of the Standard&Poor's 500 index.
data(pricesSP50) ## Not run: #Plot the first four series plot(pricesSP50[, 1:4], main = 'Four components of the S&P500 index') #Compute GDPCs; this may take a bit. fit_SP <- auto.gdpc(pricesSP50, normalize = 2, niter_max = 1000, ncores= 4) fit_SP #Get reconstruction and plot recons <- fitted(fit_SP, num_comp = 2) colnames(recons) <- colnames(pricesSP50) plot(recons[, 1:4], main = 'Reconstruction of four components of the S&P500 index') ## End(Not run)