Package dev.nm.stat.factor.pca
Class PCAbyEigen
- java.lang.Object
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- dev.nm.stat.factor.pca.PCAbyEigen
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- All Implemented Interfaces:
PCA
public class PCAbyEigen extends Object
This class performs Principal Component Analysis (PCA) on a data matrix, using eigen decomposition on the correlation or covariance matrix. Each eigenvalue is proportional to the portion of the "variance" (more correctly of the sum of the squared distances of the points from their multidimensional mean) that is correlated with each eigenvector. The sum of all the eigenvalues is equal to the sum of the squared distances of the points from their multidimensional mean. PCA essentially rotates the set of points around their mean in order to align with the principal components. This moves as much of the variance as possible (using an orthogonal transformation) into the first few dimensions. The values in the remaining dimensions, therefore, tend to be small and may be dropped with minimal loss of information. The R equivalent function isprincomp
. The main difference is that we use divisor (nObs - 1) instead of nObs for the sample covariance matrix.- See Also:
- K. V. Mardia, J. T. Kent and J. M. Bibby, "Multivariate Analysis," London, Academic Press, 1979.
- W. N. Venables and B. D. Ripley, "Modern Applied Statistics with S," New York, Springer-Verlag, 2002.
- Wikipedia: Principal component analysis
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Constructor Summary
Constructors Constructor Description PCAbyEigen(Matrix data)
Performs Principal Component Analysis, using the eigen method and using correlation matrix, on a data matrix.PCAbyEigen(Matrix data, boolean correlation)
Performs Principal Component Analysis, using the eigen method, on a data matrix.PCAbyEigen(Matrix data, boolean correlation, Matrix V)
Performs Principal Component Analysis, using the eigen method, on a data matrix with an optional correlation (or covariance) matrix provided.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description DenseVector
cumulativeProportionVar()
Gets the cumulative proportion of overall variance explained by the principal componentsImmutableMatrix
data()
Gets the original data matrix.Eigen
eigen()
Gets the eigenvalue decomposition of the correlation (or covariance) matrix.Vector
loading(int i)
Gets the loading vector of the i-th principal component.Matrix
loadings()
Gets the matrix of variable loadings.Vector
mean()
Gets the sample means that were subtracted.int
nFactors()
Gets the number of variables in the original data.int
nObs()
Gets the number of observations in the original data; sample size.Vector
proportionVar()
Gets the proportion of overall variance explained by each of the principal components.double
proportionVar(int i)
Gets the proportion of overall variance explained by the i-th principal component.Vector
scale()
Gets the scalings applied to each variable.Matrix
scores()
Gets the scores of supplied data on the principal components.double
sdPrincipalComponent(int i)
Gets the standard deviation of the i-th principal component.Vector
sdPrincipalComponents()
Gets the standard deviations of the principal components (i.e., the square roots of the eigenvalues of the correlation (or covariance) matrix).Matrix
V()
Gets the correlation (or covariance) matrix used by the PCA.Matrix
X()
Gets the (possibly centered and/or scaled) data matrix X used for the PCA.
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Constructor Detail
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PCAbyEigen
public PCAbyEigen(Matrix data, boolean correlation, Matrix V)
Performs Principal Component Analysis, using the eigen method, on a data matrix with an optional correlation (or covariance) matrix provided.- Parameters:
data
- an (nObs * nFactors) numeric matrix that represents the original datacorrelation
- a logical value indicating whether the correlation matrix (preferred) or the covariance matrix should be used (N.B. the correlation matrix can only be used if there is no constant variable)V
- an optional correlation (or covariance) matrix; if supplied, this is used rather than the correlation (or covariance) matrix of the centered (and possibly scaled) data
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PCAbyEigen
public PCAbyEigen(Matrix data, boolean correlation)
Performs Principal Component Analysis, using the eigen method, on a data matrix.- Parameters:
data
- a matrix that represents the original datacorrelation
- a logical value indicating whether the correlation matrix (preferred) or the covariance matrix should be used (N.B. the correlation matrix can only be used if there is no constant variable)
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PCAbyEigen
public PCAbyEigen(Matrix data)
Performs Principal Component Analysis, using the eigen method and using correlation matrix, on a data matrix.- Parameters:
data
- matrix that represents the original data
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Method Detail
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scale
public Vector scale()
Gets the scalings applied to each variable. If covariance matrix is used instead of the (preferred) correlation matrix, no scaling is performed.
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V
public Matrix V()
Gets the correlation (or covariance) matrix used by the PCA.- Returns:
- the correlation (or covariance) matrix
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eigen
public Eigen eigen()
Gets the eigenvalue decomposition of the correlation (or covariance) matrix.- Returns:
- the eigenvalue decomposition of the correlation (or covariance) matrix
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sdPrincipalComponents
public Vector sdPrincipalComponents()
Gets the standard deviations of the principal components (i.e., the square roots of the eigenvalues of the correlation (or covariance) matrix).- Returns:
- the standard deviations of the principal components
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loadings
public Matrix loadings()
Description copied from interface:PCA
Gets the matrix of variable loadings. The signs of the columns of the loading are arbitrary.- Returns:
- the matrix of variable loadings
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loading
public Vector loading(int i)
Description copied from interface:PCA
Gets the loading vector of the i-th principal component.
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proportionVar
public Vector proportionVar()
Description copied from interface:PCA
Gets the proportion of overall variance explained by each of the principal components.- Specified by:
proportionVar
in interfacePCA
- Returns:
- the proportion of overall variance explained by each of the principal components
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data
public ImmutableMatrix data()
Gets the original data matrix.- Returns:
- the original data matrix
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nObs
public int nObs()
Description copied from interface:PCA
Gets the number of observations in the original data; sample size.
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nFactors
public int nFactors()
Description copied from interface:PCA
Gets the number of variables in the original data.
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mean
public Vector mean()
Description copied from interface:PCA
Gets the sample means that were subtracted.
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X
public Matrix X()
Description copied from interface:PCA
Gets the (possibly centered and/or scaled) data matrix X used for the PCA.
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sdPrincipalComponent
public double sdPrincipalComponent(int i)
Description copied from interface:PCA
Gets the standard deviation of the i-th principal component.- Specified by:
sdPrincipalComponent
in interfacePCA
- Parameters:
i
- an index, counting from 1- Returns:
- the standard deviation of the i-th principal component.
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proportionVar
public double proportionVar(int i)
Description copied from interface:PCA
Gets the proportion of overall variance explained by the i-th principal component.- Specified by:
proportionVar
in interfacePCA
- Parameters:
i
- an index, counting from 1- Returns:
- the proportion of overall variance explained by the i-th principal component
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cumulativeProportionVar
public DenseVector cumulativeProportionVar()
Description copied from interface:PCA
Gets the cumulative proportion of overall variance explained by the principal components- Specified by:
cumulativeProportionVar
in interfacePCA
- Returns:
- the cumulative proportion of overall variance explained by the principal components
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