Interpreting PCA Results

Free SOA Exam SRM (Statistics for Risk Modeling) lesson in Unsupervised Learning Techniques. 10 min read, ~1,560 words.

Loadings are the weights variables get inside each principal component. Big absolute loading = strong influence on that PC. Sign tells direction. Proportion of variance explained (PVE) for PC equals, where is the eigenvalue. PVEs sum to 1 across all components. Cumulative PVE is how you pick the number of...