Interpreting PCA Results

Free SOA Exam SRM (Statistics for Risk Modeling) lesson in Unsupervised Learning Techniques. 11 min read, ~1,646 words.

Loadings are the weights (eigenvector entries) variables get inside each principal component. Large absolute loading = strong influence on that PC; sign tells direction. Each loading vector has unit length:. PVE for PC equals, where is the eigenvalue. PVEs sum to 1 across all components and are reported in decreasing...