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1
Consider a weighted combination of different variables =1
Undesirable
= =1 so that =1 2 = 1 (Standardized linear combination)
The direction of is given by the eigenvector 1 corresponding to the largest eigenvalue 1 of the
covariance matrix =
First PC 1 = 1 , so on
Generalization
For a random variable ; = , = = (spectral decomposition)
= diag 1 , 2 , , = 1 , 2 ,
The principal components are =
Illustration
1
~ 0, , with = ; > 0
1
Eigenvalues 1 + and 1
1 1 1 1
Eigenvectors 1 = and 2 =
2 1 2 1
1 1 1
PC transformation = =
2 1 1
1 1 1 + 2
=
2 2 1 2
1 = 1 + = 1
Properties of PCs
For a random variable ~ , , the PC transformation =
= 0, = 1,
= , = 1,
, = 0,
1 2
=1 =
PC in practice
= , =
If 1 is the first eigenvector of , the 1st PC is 1 = 1 1
Effects of scaling
Interpretation of the PCs
First two PCs
[,1] [,2]
-0.044 0.011
0.112 0.071
0.139 0.066
0.768 -0.563
0.202 0.659
-0.579 -0.489
1 0.84 0.66
2 0.64 + 0.75 0.56
First two eigen vectors explain 88% of variance
Correlations of PCs
12
For the data matrix, = ; = ,