CODEWITHSUNDEEP
rpcacovariance
Jack Armstrong
Jack Armstrong

Reputation: 1239

Applying PCA to a covariance matrix

I am have some difficulty understanding some steps in a procedure. They take coordinate data, find the covariance matrix, apply PCA, then extract the standard deviation from the square root of each eigenvalue in short. I am trying to re-produce this process, but I am stuck on the steps.

The Steps Taken

The data set consists of one matrix, R, that contains coordiante paris, (x(i),y(i)) with i=1,...,N for N is the total number of instances recorded. We applied PCA to the covariance matrix of the R input data set, and the following variables were obtained:

a) the principal components of the new coordinate system, the eigenvectors u and v, and

b) the eigenvalues (λ1 and λ2) corresponding to the total variability explained by each principal component.

With these variables, a graphical representation was created for each item. Two orthogonal segments were centred on the mean of the coordinate data. The segments’ directions were driven by the eigenvectors of the PCA, and the length of each segment was defined as one standard deviation (σ1 and σ2) around the mean, which was calculated by extracting the square root of each eigenvalue, λ1 and λ2.

My Steps

#reproducable data
set.seed(1)
x<-rnorm(10,50,4)
y<-rnorm(10,50,7)
# Note my data is not perfectly distirbuted in this fashion
df<-data.frame(x,y) # this is my R matrix

covar.df<-cov(df,use="all.obs",method='pearson') # this is my covariance matrix
pca.results<-prcomp(covar.df) # this applies PCA to the covariance matrix
pca.results$sdev # these are the standard deviations of the principal components
                 # which is what I believe I am looking for.

This is where I am stuck because I am not sure if I am trying to get the sdev output form prcomp() or if I should scale my data first. They are all on the same scale, so I do not see the issue with it.

My second question is how do I extract the standard deviation in the x and y direciton?

Upvotes: 0

Views: 1136

Answers (2)

Hamed Said
Hamed Said

Reputation: 41

You don't apply prcomp to the covariance matrix. scale=T bases the PCA on the correlation matrix and F on the covariance matrix

df.cor = prcomp(df, scale=TRUE)
df.cov = prcomp(df, scale=FALSE)

Upvotes: 2

Diegolog
Diegolog

Reputation: 348

You don't apply prcomp to the covariance matrix, you do it on the data itself. 

result= prcomp(df)

If by scaling you mean normalize or standardize, that happens before you do prcomp(). For more information on the procedure see this link that is introductory to the procedure: pca on R. That can walk you through the basics. To get the sdev use the the summary on the result object

summary(result)
result$sdev

Upvotes: 2

Related Questions