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This document discusses principal component analysis (PCA) which is used to reduce the dimensionality of large datasets by finding a few easily interpreted variables, or principal components, that capture most of the variation in the original data. It describes how to use Excel Solver to perform PCA and compute the variance of linear combinations of variables and the covariance between combinations. The properties of principal components are outlined, such as each being normalized to a length of 1 and being orthogonal to each other. The process for finding the first, second, and all principal components is then explained.
Descrizione originale:
principal component analysis explanation with examples
This document discusses principal component analysis (PCA) which is used to reduce the dimensionality of large datasets by finding a few easily interpreted variables, or principal components, that capture most of the variation in the original data. It describes how to use Excel Solver to perform PCA and compute the variance of linear combinations of variables and the covariance between combinations. The properties of principal components are outlined, such as each being normalized to a length of 1 and being orthogonal to each other. The process for finding the first, second, and all principal components is then explained.
This document discusses principal component analysis (PCA) which is used to reduce the dimensionality of large datasets by finding a few easily interpreted variables, or principal components, that capture most of the variation in the original data. It describes how to use Excel Solver to perform PCA and compute the variance of linear combinations of variables and the covariance between combinations. The properties of principal components are outlined, such as each being normalized to a length of 1 and being orthogonal to each other. The process for finding the first, second, and all principal components is then explained.
Analysis (PCA ) Noor Mohamed 15BM60072 Aparjeet Kausal 15BM60073 Introduction
It is used to find a few easily interpreted variables that
summarize most of the variation in the original data. The chapter describes how to use the Excel Solver to perform Principal Component Analysis Prior to this, we should know that how to compute the variance of a linear combination of variables and the covariance between two linear combinations of variables Principal Component Analysis When we come across data sets with large amounts of variable. It can get overwhelming quickly. For e.g.: Daily returns for the last 20 years on all 30 stocks in the Dow Jones Index It contains a lot of variables, making the data to difficult to understand. We can construct a few easily interpreted factors to help to understand the nature of the variability inherent in the original data set. daily stock returns might be summarized by component reflecting the overall stock index, a component reflecting movement in the financial sector and a component reflecting movement in the manufacturing sector Linear Combinations, Variances and Covariance Auto attribute data
20 people were asked
to rate on a 1 - 5 scale (5= highly important and 1 = not important) in their purchase decision Sample variances and standard deviations
Standardized important ratings
Computing 2FE HP and PR+2HP
Matrix Form Properties Length of each PC is normalized to 1 Each pair of PC has 0 sample covariance (orthogonal). Orthogonality of the PC ensures that PC will represent different aspects of the variability in the data. Sum of the variances of the PC equals n, the number of variables. Because each of the standardized variable has a variance 1, this means the PC decompose the total variance of the n standardized variables. If PCs are created from a sample covariance matrix, then sum of the variances of the PC = sum of the sample variances of the n variables. Given the previous restrictions, the first PC is chosen to have the maximum possible variance. After determining the first principal component, you choose second PC to be the maximum variance linear combination of unit length that is orthogonal to the first PC and so on. Finding First principal component Finding second Principal component Finding all Principal Component Communalities