- Function File: [COEFF] = princomp(X)
- Function File: [COEFF,SCORE] = princomp(X)
- Function File: [COEFF,SCORE,latent] = princomp(X)
- Function File: [COEFF,SCORE,latent,tsquare] = princomp(X)
- Function File: [...] = princomp(X,'econ')
- princomp performs 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
Package: statistics