As of Version 8, PrincipalComponents is part of the built-in Wolfram Language kernel.

transforms elements of matrix into principal components.

Details and OptionsDetails and Options

  • 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:
  • MethodCovariancescaling method for decomposition
    WorkingPrecisionMachinePrecisionthe precision used in internal computations
  • Possible values of Method are Covariance and Correlation.