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. 12 min read, ~1,749 words.
Standardize first when predictors are on different scales. Otherwise the largest-variance variable dominates the first component for purely unit-based reasons. Loading vector is a unit-length eigenvector of the sample covariance (or correlation) matrix. The th principal component score is. Variance explained by component equals; proportion explained equals. Components are orthogonal...
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- Example 2
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Learning objectives
- C5
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