Compute elements of principal components analysis (PCA) (e.g., loading vectors, variance explained).
Free CAS MAS-II (Modern Actuarial Statistics II) lesson in Statistical Learning. 13 min read, ~2,019 words.
Standardize first when predictors are on different scales; otherwise the largest-variance variable dominates the first component for purely unit-based reasons, so eigendecompose the correlation matrix. Loading vector is a unit-length eigenvector of the sample covariance (or correlation) matrix with the th largest eigenvalue. The th score is. Variance explained by...
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Learning objectives
- C5
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