[R] Similar package like SEM

[Stein, Luba (AIM SE)]

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:ligges at statistik.tu-dortmund.de] 
Gesendet: Donnerstag, 30. Juli 2009 09:25
An: Stein, Luba (AIM SE)
Cc: Andreas Hary; r-help at 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:andreashary at 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 at allianz.com<mailto:LUBA.STEIN at 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
> 
> 
> 
> 
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> 
> 	[[alternative HTML version deleted]]
> 
> ______________________________________________
> R-help at 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.