As of Version 8, PrincipalComponents is part of the built-in Wolfram Language kernel.
transforms elements of matrix into principal components.
- To use PrincipalComponents, you first need to load the Multivariate Statistics Package using Needs["MultivariateStatistics`"].
- PrincipalComponents gives the principal component transform of matrix.
- The principal components of matrix are linear transformations of the original columns into uncorrelated columns arranged in order of decreasing variance.
- The dimensions of PrincipalComponents[matrix] are the same as the dimensions of matrix.
- The following options can be given:
Method Covariance scaling method for decomposition WorkingPrecision MachinePrecision the precision used in internal computations
- Possible values of Method are Covariance and Correlation.