PROCEDURE for PCA

VARIABLES
p
h 0.3 Striations

Not ON X DATA MATRIX

Xi ITH row of X

X TH OL of X
j j

EXAMPLE score of STUDENTS

Xi on various EXAMS

X Scores on A Particular Exam

j
SCATTER PLOT VAR I X
X

1
r IN
points
Dimensions Ip
AR I

CEN X X T I Col MEANS

tr.NL
first PC vector w C IRP H WII I s t

2 w Van l t wz Van 2 t
Wp Van p

HAS maximum VARIANCE I E

UAR
Lti Van LW Xi IS MAX

Linear COMBINATION of VARIABLES WHICH CAPTURES AS

MUCH As PolfiBCE of VARIATION IN THE DATA

x
x
x
I

t
x t

ProJ with MAX UAR

MAIN STREET
t
M 2
1
Vanftif n
I
l
2
i L
Hi E
n

IF I _O THEN Van ti L tf
n
i

T T
Van
Um Ltily w xi I t
w'T
 UAL wtf J
L 11 44

c T 2
ProBeem MAX H X w 11

S.t Hw11 1

Solution X I U 2 VT

MAX Aeitievers For w V

i e first PC IS RIGHT finaucan Vector of X T

with LARGEST LWh VALUE

C X 5 TX 5 EX tX covariance matrix

first PC EIGENVECTOR of C WITH LARGEST EIGENVALUE

SECOND PC WE CRP HWY I 1 First PC

set Um wt X IS MAX
 Max 11 7 11

S t 11W11 1 d W L V

solution Va

THizD PC W E IRP Llull L L L first 2 Pc's

S t Van wt x IS MAX

se i Vz

a o

NEW VARIABLES PCs

t xcv u i
ft y.pl

NEW VANIABLES

COL MEANS of XC o Col MEANS OF Z o

umLZ.jfLHZ.jlf rfllujli rj 7
jo
 EIGEN AWES ARE VARIANCES of PCs

T.givarht.jh.ee Ig Ht.gl Http

vmhxc.jgx jlxoj.tl uxclk
sum of variances of PCs Sum of VARIANCES of
INDIVIDUAL VARIABLES

TOTAL VARIATION IN DATA

Cov 7 Zoe L Z'T 7

j e

rjre u'The
If
o
g ye
PC VARIABLES AZE uncorrected
PROCEDURE for PCs

1 COMPUTE COVARIANCE MATRIX C X 7 F

l find EIGENVALUES I EIGENVECTORS

Al Ap Vi Vp

3 DISCARD ANY COMPONENT THAT Accounts for ONLY

A SMALL proportion of variation IN THE DATA

20 VARIABLES
log
3 PC s contribute 7 90 of VARIATION
on this BASIS IGNORE 17 COMPONENTS