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ANALYSIS
An introduction to PCA
PCA is a method of extracting some of the most
important trends in high-dimensional data.
We will perform PCA on this simple data set as an
example
To understand how PCA works, We will need
- Basic statistics
- Matrix algebra
An introduction to PCA
Technique quite old: Pearson (1901) and Hotelling
(1933), but still one of the most used multivariate
techniques today
Main idea:
Start with variables X1, . . . , Xp
Find a rotation of these variables, say Y 1, . . . , Yp
(called
principal components), so that:
An introduction to PCA
An introduction to PCA
BASIC STATISTICS
Statistics bring out the trends wherever there is
randomness and uncertainty
An introduction to PCA
An introduction to PCA
Coordinate transformations: an
example of matrix algebra
Two dimensional space described by coordinates
Points in space described by x1 and x2 column
vectors with elements: x = [x1 x2];
e.g. the vector [1;2] represents the point
Coordinate transformations: an
example of matrix algebra
Alternative coordinate system described by the
coordinates x1 and x2
Have a different column vector describing the same
point:
The two coordinate systems are Tx = x related by a
transformation matrix T, such that
Important: An orthogonal matrix
is the kind of matrix which
performs rotated-axis coordinate
transformations
Tx x
X1
X2
2.5
2.4
0.5
0.7
2.2
2.9
1.9
2.2
3.1
3.0
2.3
2.7
2.1
1.6
1.0
1.1
1.5
1.6
1.1
0.9
First
statistical
step
is
For 2 variables:
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