PrincipalComponents

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

PrincipalComponents[matrix]
transforms elements of matrix into principal components.

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  • To use , you first need to load the Multivariate Statistics Package using Needs["MultivariateStatistics`"].
  • 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.
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