Interpret principal components analysis (PCA) software outputs.

Free CAS MAS-II (Modern Actuarial Statistics II) lesson in Statistical Learning. 12 min read, ~1,763 words.

Eigenvalues equal and give the variance captured by each principal component. When inputs are standardized, they sum to, the number of variables. Proportion of variance explained (PVE) for PC is. Cumulative PVE drives the 80% to 90% retention rule. Loadings (columns of ) are unit-length eigenvectors. Squared loadings on a...