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PrincipalComponents

PrincipalComponents[matrix]
transforms elements of matrix into principal components.
  • 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
Needs["MultivariateStatistics`"]
Principal components for bivariate data:
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