Interpret principal components analysis (PCA) software outputs.
Free CAS MAS-II (Modern Actuarial Statistics II) lesson in Statistical Learning. 11 min read, ~1,577 words.
Eigenvalues equal. They give the variance captured by each principal component. When inputs are standardized, eigenvalues 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...
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- Content
- Example 1
- Example 2
- Common Mistakes
- Key Takeaways
- Exam Shortcuts
Learning objectives
- C6
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