- statistics: COEFF = princomp (X)
- statistics: [COEFF, SCORE] = princomp (X)
- statistics: [COEFF, SCORE, latent] = princomp (X)
- statistics: [COEFF, SCORE, latent, tsquare] = princomp (X)
- statistics: […] = princomp (X, "econ")
Performs a principal component analysis on a NxP data matrix X.
-
COEFF : returns the principal component coefficients
-
SCORE : returns the principal component scores, the representation of X
in the principal component space
-
LATENT : returns the principal component variances, i.e., the
eigenvalues of the covariance matrix X.
-
TSQUARE : returns Hotelling’s T-squared Statistic for each observation
in X
-
[...] = princomp(X,’econ’) returns only the elements of latent that are not
necessarily zero, and the corresponding columns of COEFF and SCORE, that is,
when n <= p, only the first n-1. This can be significantly faster when p is
much larger than n. In this case the svd will be applied on the transpose of
the data matrix X
References
-
Jolliffe, I. T., Principal Component Analysis, 2nd Edition, Springer, 2002
Source Code:
princomp