刘仁沛教授-MultivariateStatisticalMethods.ppt

Copyright by Jen-pei Liu, PhD Multivariate Statistical Methods Principal Components Analysis (PCA) By Jen-pei Liu, PhD Division of Biometry, Department of Agronomy, National Taiwan University and Division of Biostatistics and Bioinformatics National Health Research Institutes Principal Components Analysis Introduction Procedures Properties Examples Summary Introduction Described by K. Pearson (1901) Computing methods by Hotelling (1933) Objective To transform the original variables X1,…,Xp into index variables Z1,…,Zp Z1,…,Zp are linear combinations of X1,…,Xp Z1,…,Zp are independent and are in order of important To describe the variation in the data Introduction Lack of correlation ? index variables measure different dimensions (domains) Lack of correlation ? only consider the variance of index variables and do not have to take covariance into consideration Ordering ? Var(Z1) ? Var(Z2) ? … ? Var(Zp) The Z index variables are called the principal components Introduction Variance of the variation in the full data set can be adequately describe by the few Z index variables Reduction of dimension from 2-digit number to just 2 to 4 principal compoents High correlations in the original variables Introduction Introduction Correlations of Female Sparrows X1 X2 X3 X4 X5 Total length (X1) 1.000 Alar length (X2) 0.735 1.000 Length of beak and Head (X3) 0.662 0.674 1.000 Length of humerus (X4) 0.645 0.769 0.763 1.000 Length of keel of sternum (X5) 0.605 0.529 0.626 0.607 1.000 Introduction Coefficients for Components Component Variance X1 X2 X3 X4 X5 1 3.616 0.452 0.462 0.451 0.471 0.398 2 0.532 -0.051 0.300 0.325 0.185 -0.877 3 0.386 0.691 0.341 -0.455 -0.411 -0.179 4 0.302 -