That certainly helps Petr. In terms of the overall question, perhaps it is
better to show the code and reexplain what exactly I am trying to do:
1. I have logetf values in a [3300,9] matrix
2. I am trying to find the w value in the function:
sum(abs(retT-w*prcomp(ret[(1+i):(252+i),]$rotation[,1])
3. retT are time T log etf value, prcomp(ret[(1+i):(252+i),]$rotation[,1] is
the Principal component value for 252 days prior to time T.
4. I want to utilize the DEoptim() function in a loop from time T (the
beginning T value is logetf value on the 253rd day) until the last day,
which would correspond with nrow(ret) [or around 3300]. DEoptim will find
the w value that minimizes that function.
#etf dataset
logetf=log(etf)
ret=as.matrix(logetf, nrow=dim(logetf)[1], ncol=dim(logetf)[2])
#principal component using eigenvalues
library(DEoptim)
library(zoo)
retT=ret[c(253:nrow(ret)),]
retQ=ret[c(1:252),]
pr=prcomp(retQ)
pr1=pr$rotation[,1]
pr1=matrix(pr1,nrow=1, ncol=9)
#w1 Values
for(i in 252:nrow(ret)){
fn<-function(w) {sum(abs(retT-w*prcomp(ret[(1+i):(252+i),]$rotation[,1])))}}
lower<-c(-1000000)
upper<- -lower
set.seed(1234)
record=DEoptim(fn, lower, upper)
If there is any more information I can provide to make it more clear, please
let me know. My coding skills is really subpar for this project but I need
to finish it asap. I REALLY appreciate anyone's help!
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