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    PCA - Principal Component Analysis: Step by Step Computation of PCA

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    Sohini Dey
    PCA is a dimensionality reduction technique that transforms a dataset into a lower dimensional space while retaining the important information. It identifies correlations in the data and patterns to reduce dimensions without loss of information. The steps involve standardizing data, computing the covariance matrix, calculating eigenvectors and eigenvalues from the covariance matrix, computing principal components by ordering eigenvectors by highest eigenvalues, and reducing dimensions by removing lesser principal components. PCA produces empirical orthogonal functions (patterns in data), principal components (time series reflecting EOF combinations), and eigenvalues (importance of each EOF).

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    PCA - Principal Component Analysis: Step by Step Computation of PCA

    Uploaded by

    Sohini Dey
    151 views2 pages
    PCA is a dimensionality reduction technique that transforms a dataset into a lower dimensional space while retaining the important information. It identifies correlations in the data and patterns to reduce dimensions without loss of information. The steps involve standardizing data, computing the covariance matrix, calculating eigenvectors and eigenvalues from the covariance matrix, computing principal components by ordering eigenvectors by highest eigenvalues, and reducing dimensions by removing lesser principal components. PCA produces empirical orthogonal functions (patterns in data), principal components (time series reflecting EOF combinations), and eigenvalues (importance of each EOF).

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    PCA

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    PCA is a dimensionality reduction technique that transforms a dataset into a lower dimensional space while retaining the important information. It identifies correlations in the data and patterns to reduce dimensions without loss of information. The steps involve standardizing data, computing the covariance matrix, calculating eigenvectors and eigenvalues from the covariance matrix, computing principal components by ordering eigenvectors by highest eigenvalues, and reducing dimensions by removing lesser principal components. PCA produces empirical orthogonal functions (patterns in data), principal components (time series reflecting EOF combinations), and eigenvalues (importance of each EOF).

    Copyright:

    © All Rights Reserved
    Download as PPTX, PDF, TXT or read online from Scribd
    Download as pptx, pdf, or txt
    151 views2 pages

    PCA - Principal Component Analysis: Step by Step Computation of PCA

    Uploaded by

    Sohini Dey
    PCA is a dimensionality reduction technique that transforms a dataset into a lower dimensional space while retaining the important information. It identifies correlations in the data and patterns to reduce dimensions without loss of information. The steps involve standardizing data, computing the covariance matrix, calculating eigenvectors and eigenvalues from the covariance matrix, computing principal components by ordering eigenvectors by highest eigenvalues, and reducing dimensions by removing lesser principal components. PCA produces empirical orthogonal functions (patterns in data), principal components (time series reflecting EOF combinations), and eigenvalues (importance of each EOF).

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    © All Rights Reserved
    Download as PPTX, PDF, TXT or read online from Scribd
    Download as pptx, pdf, or txt
    of 2

    PCA – Principal Component Analysis

    PCA – Principal components analysis (PCA) is a dimensionality reduction technique that enables you to identify correlations
    and patterns in a data set so that it can be transformed into a data set of significantly lower dimension without loss of any
    important information.

    Step By Step Computation Of PCA Step 2: Computing the covariance matrix


    The below steps need to be followed to perform dimensionality reduction
    using PCA: A covariance matrix expresses the correlation between the different variables in
    1.Standardization of the data the data set. It is essential to identify heavily dependent variables because they
    2.Computing the covariance matrix contain biased and redundant information which reduces the overall
    3.Calculating the eigenvectors and eigenvalues performance of the model.
    4.Computing the Principal Components
    5.Reducing the dimensions of the data set

    Step 1: Standardization of the data

    Standardizing the data into a comparable range is very important.


    Standardization is carried out by subtracting each value in the data from the
    mean and dividing it by the overall deviation in the data set.
    Step 3: Calculating the Eigenvectors and Eigenvalues
    Eigenvectors and eigenvalues are the mathematical constructs that must be computed from the covariance matrix in order to determine the principal components
    of the data set.

    Step 4: Computing the Principal Components


    Once we have computed the Eigenvectors and eigenvalues, all we have to do is order them in the descending order, where the eigenvector with the highest
    eigenvalue is the most significant and thus forms the first principal component. The principal components of lesser significances can thus be removed in order to
    reduce the dimensions of the data.

    Step 5: Reducing the dimensions of the data set


    The last step in performing PCA is to re-arrange the original data with the final principal components which represent the maximum and the most significant
    information of the data set. In order to replace the original data axis with the newly formed Principal Components, you simply multiply the transpose of the
    original data set by the transpose of the obtained feature vector.

    Data X – Evaluating Variables Analysis


    Criteria 1 Criteria 2 Criteria 3 Criteria M
    PCA produces three types of analysis:
    TPM/TPL 1 1 5
    TPM/TPL 2 1/5 1  The Empirical orthogonal Functions(EOF)’s : The patterns and
    structure in the data
    TPM/TPL 3 2 0.5 1
    TPM/TPL N 3.5 2.5 1  The Principal Component(PC’s): A time series, reflecting the
    relative combination of each EOF

    1. From the Data Matrix X given above containing data; the table is of size M  The eigen values: give the overall importance of each EOF
    X N (M variables, measurements, N sample Size
    2. Calculate the Covariance matrix S, based on X.
    3. Solve Se = lambda e for the eigenvectors e and eigenvalues lambda(M EOF
    and Eigen Values
    4. Solve P = Xe to calculate the principal component( N PCs)

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