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Function List:

C++ API

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

  1. Jolliffe, I. T., Principal Component Analysis, 2nd Edition, Springer, 2002

Package: statistics