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Re: PCA related program?

From: johan19
Subject: Re: PCA related program?
Date: Sat, 21 Nov 1998 13:10:27 -0500

On Sat, Nov 21, 1998 at 11:41:20PM +0800, Fan Lixin wrote:
> Hi, I am sort of urgently looking for a Principal Component Analysis(PCA) 
> related program for my project, either written in octave or MATLAB. 
> Anyone out there can point me the right way to address this issue? 
> Thanks in advance. 

the built in function svd will do what you want.  the eigenvalue and
singular value decomposition problem coincide for positive
semidefinite matrices.  the svd algorithm is faster, more stable and
ultimately more accurate than the eig algorithm.

see anderson's book on stats.

also, many times the principal component analysis is misapplied when
the tool you really want is canonical variate analysis which describes
correlation between two groups of variables.

i am attaching a generalized svd m-file in case it can help someone.

Johan Kullstam address@hidden Don't Fear the Penguin!

Attachment: gsvd.m
Description: Text document

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