Principal Component Analysis

Principal component analysis is a statistical technique that is used to analyze the interrelationships among a large number of variables and to explain these variables in terms of a smaller number of variables, called principal components, with a minimum loss of information.

Definition 1: Let X = [xi] be any k × 1 random vector. We now define a k × 1 vector Y = [yi], where for each i the ith principal component of X is

image9168

for some regression coefficients βij. Since each yi is a linear combination of the xj, Y is a random vector.

Now define the k × k coefficient matrix β = [βij] whose rows are the 1 × k vectors \beta^T X = [βij]. Thus,

yi = \beta_i^T X                     Y = \beta^T X

For reasons that will be become apparent shortly, we choose to view the rows of β as column vectors βi, and so the rows themselves are the transpose \beta_i^T X.

Observation:  Let Σ = [σij] be the k × k population covariance matrix for X. Then the covariance matrix for Y is given by

ΣY = βT Σ β

i.e. population variances and covariances of the yi are given by

image9169 image9170

Observation: Our objective is to choose values for the regression coefficients βij so as to maximize var(yi) subject to the constraint that cov(yi, yj) = 0 for all i ≠ j. We find such coefficients βij using the Spectral Decomposition Theorem (Theorem 1 of Linear Algebra Background). Since the covariance matrix is symmetric, by Theorem 1 of Symmetric Matrices, it follows that

Σ = β D βT

where β is a k × k matrix whose columns are unit eigenvectors β1, …, βk corresponding to the eigenvalues λ1, …, λk of Σ and D is the k × k diagonal matrix whose main diagonal consists of λ1, …, λk. Alternatively, the spectral theorem can be expressed as

image9171

Property 1: If λ1 ≥ … ≥ λk are the eigenvalues of Σ with corresponding unit eigenvectors β1, …, βk, then

image9171

and furthermore, for all i and j ≠ i

var(yi) = λi         cov(yi, yj) = 0

Proof: The first statement results from Theorem 1 Symmetric Matrices as explained above. Since the column vectors βj are orthonormal, βi · βj = \beta_i^T \beta_j = 0 if j ≠ i and \beta_i^T \beta_j = 1 if j = i. Thus

image9172
image9173

Property 2:

image9174

Proof: By definition of the covariance matrix, the main diagonal of Σ contains the values \sigma_1^2, …, \sigma_k^2, and so trace(Σ) = \sum_{i=1}^k \sigma_i^2. But by Property 1 of Eigenvalues and Eigenvectors, trace(Σ) = \sum_{i=1}^k \lambda_i.

Observation: Thus the total variance \sum_{i=1}^k \sigma_i^2 for X can be expressed as trace(Σ) = \sum_{i=1}^k \lambda_i, but by Property 1, this is also the total variance for Y.

Thus the portion of the total variance (of X or Y) explained by the ith principal component yi is λi/\sum_{i=1}^k \lambda_i. Assuming that λ1 ≥ … ≥ λk the portion of the total variance explained by the first m principal components is therefore \sum_{i=1}^m \lambda_i / \sum_{i=1}^k \lambda_i.

Our goal is to find a reduced number of principal components that can explain most of the total variance, i.e. we seek a value of m that is as low as possible but such that the ratio \sum_{i=1}^m \lambda_i  / \sum_{i=1}^k \lambda_i is close to 1.

Observation: Since the population covariance Σ is unknown, we will use the sample covariance matrix S as an estimate and proceed as above using S in place of Σ. Recall that S is given by the formula:

image9175

where we now consider X = [xij] to be a k × n matrix such that for each i, {xij: 1 ≤ j ≤ n} is a random sample for random variable xi. Since the sample covariance matrix is symmetric, there is a similar spectral decomposition

image9176

where the Bj = [bij] are the unit eigenvectors of S corresponding to the eigenvalues λj of S (actually this is a bit of an abuse of notation since these λj are not the same as the eigenvalues of Σ).

We now use bij as the regression coefficients and so have

image9177

and as above, for all i and j ≠ i

var(yi) = λi         cov(yi, yj) = 0

image9178

As before, assuming that λ1 ≥ … ≥ λk, we want to find a value of m so that \sum_{i=1}^m \lambda_i explains as much of the total variance as possible. In this way we reduce the number of principal components needed to explain most of the variance.

Example 1: The school system of a major city wanted to determine the characteristics of a great teacher, and so they asked 120 students to rate the importance of each of the following 9 criteria using a Likert scale of 1 to 10 with 10 representing that a particular characteristic is extremely important and 1 representing that the characteristic is not important.

  1. Setting high expectations for the students
  2. Entertaining
  3. Able to communicate effectively
  4. Having expertise in their subject
  5. Able to motivate
  6. Caring
  7. Charismatic
  8. Having a passion for teaching
  9. Friendly and easy-going

Figure 1 shows the scores from the first 10 students in the sample and Figure 2 shows some descriptive statistics about the entire 120 person sample.

Teacher evaluation scores

Figure 1 – Teacher evaluation scores

Descriptive statistics teacher evaluations

Figure 2 – Descriptive statistics for teacher evaluations

The sample covariance matrix S is shown in Figure 3 and can be calculated directly as

=MMULT(TRANSPOSE(B4:J123-B126:J126),B4:J123-B126;J126)/(COUNT(B4:B123)-1)

Here B4:J123 is the range containing all the evaluation scores and B126:J126 is the range containing the means for each criterion. Alternatively, we can simply use the Real Statistics formula COV(B4:J123) to produce the same result.

Covariance matrix teacher evealuation

Figure 3 – Covariance Matrix

In practice, we usually prefer to standardize the sample scores. This will make the weights of the nine criteria equal. This is equivalent to using the correlation matrix. Let R = [rij] where rij is the correlation between xi and xj, i.e.

image9179

The sample correlation matrix R is shown in Figure 4 and can be calculated directly as

=MMULT(TRANSPOSE((B4:J123-B126:J126)/B127:J127),(B4:J123-B126:J126)/B127:J127)/(COUNT(B4:B123)-1)

Here B127:J127 is the range containing the standard deviations for each criterion. Alternatively, we can simply use the Real Statistics function CORR(B4:J123) to produce the same result.

Correlation matrix teacher evaluations

Figure 4 – Correlation Matrix

Note that all the values on the main diagonal are 1, as we would expect since the variances have been standardized. We next calculate the eigenvalues for the correlation matrix using the Real Statistics eigVECTSym(M4:U12) formula, as described in Linear Algebra Background. The result appears in range M18:U27 of Figure 5.

Eigenvalues eigenvectors correlation matrix

Figure 5 – Eigenvalues and eigenvectors of the correlation matrix

The first row in Figure 5 contains the eigenvalues for the correlation matrix in Figure 4. Below each eigenvalue is a corresponding unit eigenvector. E.g. the largest eigenvalue is λ1 = 2.880437. Corresponding to this eigenvalue is the 9 × 1 column eigenvector B1 whose elements are 0.108673, -0.41156, etc.

As we described above, coefficients of the eigenvectors serve as the regression coefficients of the 9 principal components. For example, the first principal component can be expressed by

image9180This can also be expressed as

image9181

Thus for any set of scores (for the xj) you can calculate each of the corresponding principal components. Keep in mind that you need to standardize the values of the xj first since this is how the correlation matrix was obtained. For the first sample (row 4 of Figure 1), we can calculate the nine principal components using the matrix equation Y = BX′ as shown in Figure 6.

Principal component calculation

Figure 6 – Calculation of PC1 for first sample

Here B (range AI61:AQ69) is the set of eigenvectors from Figure 5, X (range AS61:AS69) is simply the transpose of row 4 from Figure 1, X′ (range AU61:AU69) standardizes the scores in X (e.g. cell AU61 contains the formula =STANDARDIZE(AS61, B126, B127), referring to Figure 2) and Y (range AW61:AW69) is calculated by the formula

=MMULT(TRANSPOSE(AI61:AQ69),AU61:AU69)

Thus the principal component values corresponding to the first sample are 0.782502 (PC1), -1.9758 (PC2), etc.

As observed previously, the total variance for the nine random variables is 9 (since the variance was standardized to 1 in the correlation matrix), which is, as expected, equal to the sum of the nine eigenvalues listed in Figure 5. In fact, in Figure 7 we list the eigenvalues in decreasing order and show the percentage of the total variance accounted for by that eigenvalue.

variance-per-eigenvalue-excel

Figure 7 – Variance accounted for by each eigenvalue

The values in column M are simply the eigenvalues listed in the first row of Figure 5, with cell M41 containing the formula =SUM(M32:M40) and producing the value 9 as expected. Each cell in column N contains the percentage of the variance accounted for by the corresponding eigenvalue. E.g. cell N32 contains the formula =M32/M41, and so we see that 32% of the total variance is accounted for by the largest eigenvalue. Column O simply contains the cumulative weights, and so we see that the first four eigenvalues account for 72.3% of the variance.

Using Excel’s charting capability, we can plot the values in column N of Figure 7 to obtain a graphical representation, called a scree plot.

Scree plot Excel

Figure 8 – Scree Plot

We decide to retain the first four eigenvalues, which explain 72.3% of the variance. In section Basic Concepts of Factor Analysis we will explain in more detail how to determine how many eigenvalues to retain. The portion of Figure 5 that refers to these eigenvalues is shown in Figure 9. Since all but the Expect value for PC1 is negative, we first decide to negate all the values. This is not a problem since the negative of a unit eigenvector is also a unit eigenvector.

Principal component coefficients reduced

Figure 9 – Principal component coefficients (Reduced Model)

Those values that are sufficiently large, i.e. the values that show a high correlation between the principal components and the (standardized) original variables, are highlighted. We use a threshold of ±0.4 for this purpose.

This is done by highlighting the range R32:U40 and selecting Home > Styles|Conditional Formatting and then choosing Highlight Cell Rules > Greater Than and inserting the value .4 and then selecting Home > Styles|Conditional Formatting and then choosing Highlight Cell Rules > Less Than and inserting the value -.4.

Note that Entertainment, Communications, Charisma and Passion are highly correlated with PC1, Motivation and Caring are highly correlated with PC3 and Expertise is highly correlated with PC4. Also, Expectation is highly positively correlated with PC2 while Friendly is negatively correlated with PC2.

Ideally, we would like to see that each variable is highly correlated with only one principal component. As we can see from Figure 9, this is the case in our example. Usually, this is not the case, however, and we will show what to do about this in the Basic Concepts of Factor Analysis when we discuss rotation in Factor Analysis.

In our analysis, we retain 4 of the 9 principal factors. As noted previously, each of the principal components can be calculated by

image9182i.e. Y= BTX′, where Y is a k × 1 vector of principal components, B is a k x k matrix (whose columns are the unit eigenvectors) and X′ is a k × 1 vector of the standardized scores for the original variables.

If we retain only m principal components, then Y = BTX where Y is an m × 1 vector, B is a k × m matrix (consisting of the m unit eigenvectors corresponding to the m largest eigenvalues) and X′ is the k  × 1 vector of standardized scores as before. The interesting thing is that if Y is known we can calculate estimates for standardized values for X using the fact that X′ = BBTX’ = B(BTX′) = BY (since B is an orthogonal matrix, and so, BBT = I). From X′ it is then easy to calculate X.

Original scores PCA Excel

Figure 10 – Estimate of original scores using reduced model

In Figure 10 we show how this is done using the four principal components that we calculated from the first sample in Figure 6. B (range AN74;AQ82) is the reduced set of coefficients (Figure 9), Y (range AS74:AS77) are the principal components as calculated in Figure 6, X′ are the estimated standardized values for the first sample (range AU74:AU82) using the formula =MMULT(AN74:AQ82,AS74:AS77) and finally, X are the estimated scores in the first sample (range AW74:AW82) using the formula =AU74:AU82*TRANSPOSE(B127:J127)+TRANSPOSE(B126:J126).

As you can see the values for X in Figure 10 are similar, but not exactly the same as the values for X in Figure 6, demonstrating both the effectiveness as well as the limitations of the reduced principal component model (at least for this sample data).

229 thoughts on “Principal Component Analysis”

  1. Hello Charles. Thanks very much for this tool. I am trying to do a principal component analysis across 34 countries. I have three variables currently (disclosure, burden of proof, and anti director right) and I want to use PCA to create a new variable called insider protection which is a PCA of these three variables. The output should be an index number for each of the 34 countries. I am running into a few issues: 1) I don’t know the best way to set up the data (i.e. countries as rows vs. columns) and 2) Even if I try the set up both ways I get more eigenvectors than variables. I have the Excel file, just not sure how to send it to you.

    Reply

  2. Charles,

    Thank you so much for such valuable tool! I had a question: when I calculate the eigenvalues and eigenvectors, the vector have more coefficients than I have variables in the dataset. Any idea why this is happening?

    Thanks again for this amazing tool!

    Reply

  3. I often see PCA score plots in the literature, with PC1 on the x-axis and PC2 on the y-axis showing a cloud of dots. I assume the PC1 scores were generated as the sum of the eigenvector coefficients of the largest eigenvalue multiplied by the corresponding original values. This value would be -12.6 for student 1. The PC2 scores use the eigenvector coefficients of the next largest eigenvalue applied to the original values. If this is not the case I would appreciate knowing how to interpret the PCA score plots. Thanks.

    Reply

  4. Hi Charles,
    I had attempted for PCA using real stat functions as depicted,
    however I am getting eigen vector with sign reversed for eigen vector/ PC 1,2,4,5 and 7.
    further, comparison of eigen vector in demo and in Minitab indicates sign reversed for eigen vector/PC 1,4 and 7.
    Can you help to understand possible reason for this, and how do I get similar PC using Real Stats and Minitab.

    Thanks!

    Reply

    • Hello,
      It is not a problem if all the signs of the eigenvectors are reversed. This is normal. Remember that eigenvectors are not unique. In fact, if X is an eigenvector then so is -X.
      Charles

      Reply

  5. Hello Charles, Thanks for illustration on PCA using Excel.
    Can you share the excel with with raw data (with 120 observations) and analysis completed, shown step wise.

    Reply

  6. Hi Mr, Zaiontz

    I really appreciate your site. Many thanks

    Also, i want to ask you about how can I performance a PCA with covariance matrix?
    I’was practicing but I just get correlation matrix.

    Thanks in advance,
    Best regards, Max

    Reply

    • Hi Max,
      Is there any particular reason for using the covariance matrix instead of the correlation matrix?
      I believe that the process is similar, but I always use the correlation matrix.
      Charles

      Reply

      • Thanks for answering me Mr. Charles
        Yes, the point is that I am seeing the benefits of both methods, that is, the differences in the results to understand the values obtained well, and then try the most robust versions of pca, on a non-Gaussian, non-linear database , with outliers and of very high dimension, as a geological database

        Thank you very very much

        Reply

  7. Hello Charles,

    Thanks a lot for the article. I was just wondering how can we calculate the expected values for the other samples (e.g., 2, 3, 4…), other than the first one (as you did on figure 10, column “AW”), using the computed PCs.

    Reply

  8. Hello dear Charles, I have tried follow your explanation about using formulas eValues in Excel, unfortunately it does not exists in my tool pack, what should I do, thank you in advance

    Reply

  9. Hi Charles,

    I’ve followed all the theoretical explaination, the only things i’m in trouble with is concrete use XRealstat’s formula:

    Do you know why if I put these formula (as you did in the example) COV(…) you have had a matrix and i’ll recived back just a cell with a single number ??

    It’s going on with all the types of formula.

    Really thanks for your support!!

    Reply

  10. Hey Charles,

    The file THC.csv contains data on concentrations of 13 different chemical compounds in marijuana plants own in the same region in Colombia that are derived from three different species varieties. I was performing PCA where in i was stuck here. Could you please help me Perform a principal component analysis using SAS on the correlation matrix and answer the following questions from the resultant SAS output.

    1. Obtain the score plot of PC 2 versus PC1. Is there any discernable outliers or pattern that you can comment on?

    2. Obtain the score plot of PC 2 versus PC1 using the covariance matrix. Are there any discernable outliers or pattern that you can comment on?

    3. Obtain the score plot of PC 2 versus PC1 using the correlation matrix. Are there any discernable outliers or pattern that you can comment on?

    4. Obtain the score plot of PC 2 versus PC1 using the standardized PCs. Are there any discernable outliers or pattern that you can comment on?

    5. Find the 95% confidence intervals for the first to fifth eigenvalues.

    Thanks,
    Lakshmi

    Reply

  11. Hello Charles,

    When I run eVectors, it generates two additional rows at the bottom that are not discussed here. So, when I input, say, a 5×5 matrix, the output is 8×5 but my understanding is that the output should be a 6×5 matrix. I’ve tried using the formula in your sample Excel sheet for the exact dataset used in the example and it still occurs. However, up until that point, the results of the matrices are identical.

    Thank you,
    Nicole

    Reply

  13. I tried using the direct calculations for the covariance & correlation matrices, but they do not produce the same results at the COR and COV functions in the add-in. Am I missing something?

    Reply

    • Hello Kris,
      They should produce the same results. If you email me an Excel file with your data and results, I will try to figure out what is going wrong.
      Charles

      Reply

  14. Hi Charles,
    I have a data matrix of 35 samples and 255 observations. The final Eigenvector calculation results is a matrix 256×255. How long should the calculation take. It’s been running for two hours and is not finished.
    Thanks
    Ilan

    Reply

    • Hi Ilan,
      I haven’t optimized the eVECTORS function for speed and don’t know how long it should take. In any case, I have the following suggestion that will likely reduce the time it takes considerably:
      The second argument in the eVECTORS function is the # of iterations used. This defaults to 100. This number is very likely to be much higher than you need. I suggest that you use a much smaller value, say 10. I suggest that you highlight an output range with two extra rows. If the first of these rows is all zeros, then you know that the calculated eigenvalues are correct, while if the second of these rows is all zeros then you know that the calculated eigenvectors are correct (and so you used a sufficient number of iterations).
      Charles

      Reply

  15. Hi Charles I am not able to use these formulas directly in my data. I have tried many ways but couldn’t. Is there any way to do, or I have to do it step wise.

    MMULT(TRANSPOSE(B4:J123-B126:J126),B4:J123-B126;J126)/(COUNT(B4:B123)-1)

    Reply

  16. Dear Charles,
    I tried PCA again. The results are amazing. Beyond intuition.
    It is showing 79th teacher is the best though sum of his scores are lowest (33). Maybe because his scores are highest in EXPECT and PCA places highest emphasis on EXPECT.
    Here is list of top-10 teachers by score. Please correct me if I am wrong.
    Thanks
    balnagendra

    sno expect entertain comm expert motivate caring charisma passion friendly score
    79 4.37 -0.06 0.85 1.61 1.16 1.53 -0.13 0.61 0.27 10.22
    76 2.40 -0.24 0.54 1.96 0.54 -0.05 0.89 0.21 0.65 6.88
    13 3.59 1.89 0.31 0.15 1.04 0.50 -0.26 -0.47 -0.03 6.72
    22 1.39 1.08 1.65 0.89 -0.01 1.14 -0.25 -0.31 0.66 6.24
    7 1.17 0.37 1.11 1.57 0.63 0.19 -0.07 0.13 0.04 5.14
    87 3.70 0.74 0.70 -0.19 -0.37 0.17 -0.65 0.38 0.32 4.81
    102 1.46 1.28 0.99 0.27 -0.54 0.21 0.63 0.16 -0.18 4.28
    71 -0.02 1.96 1.10 -0.23 -0.09 1.04 0.22 0.08 0.21 4.26
    80 0.32 1.02 0.35 0.26 0.44 -0.02 0.81 0.34 0.40 3.91
    56 1.33 0.12 0.55 0.15 1.04 0.58 0.66 -0.29 -0.43 3.71
    91 1.75 0.68 1.12 1.41 -0.59 -0.42 -0.11 0.28 -0.49 3.63

    Reply

    • Im getting this as top 10 since only pc1..pc4 are taken into consideration.
      sr
      16 2.24 2.36 1.27 3.97
      13 3.59 1.89 0.31 -0.15
      87 3.70 0.74 0.70 0.19
      120 2.39 -0.64 1.28 2.01
      40 1.43 1.33 1.30 -0.49
      79 4.37 -0.06 0.85 -1.61
      51 2.08 -0.19 0.10 1.51
      102 1.46 1.28 0.99 -0.27
      71 -0.02 1.96 1.10 0.23
      22 1.39 1.08 1.65 -0.89
      now ambiguity is going to lead to confusion…. hope charles comes for rescue.
      many thanks

      Reply

  17. Hi, Charlie

    I downloaded the add-in, and it works to calculate CORR and COV. But eVectors() returns all 0. No clue what the problem is. Any suggestion ?

    Thanks.

    Yong

    Reply

      • Thanks, Charles

        A silly question: We usually calculate the eigen-values and vectors from CORR matrix, and apply {s} to eigen vector to get the real magnitude. eVectors can be applied to COV matrix too and it returns another set of eigen values and vectors. Are they easily convertible to the eigen results from CORR matrix ? Or, are the results from COV usable ?

        Reply

    • Hi ,
      Ive used MEigenvalPow , MEigenvec to find the vectors from the add in… whilst using eigenvalPow make sure you select only 1 row as output row 1×9, and use it as an array function.
      Hope it helps

      Reply

  18. Hi. I have a time series of yield curve constituents (i.e. 2y-30y). How this changes the methodology? I have constructed the standardized correl matrix and estimated the eigenvalues and vector. How should I proceed from there? In your example you have 10 students with 10 response categories. I have 5y monthly data for 10 bond yields.

    Reply

  19. Hi Charles, thank you for your PCA calculation example. It is quite useful and the procedure makes sense. I was wondering if you could show me how to apply the same methodology to a large sample. You showed us how to calculate the principal components for the first sample. Can you show me the formulas for calculating the principal components for the entire sample in one matrix iteration. Or do I have to calculate them individually for each sample. Thanks.

    Reply

  20. Hi Charles,

    Thank you very much for this instructive website and resource.

    I understand it that the values you calculated for the first sample (“Y”, AW61:AW69) in Fig 6 are the coordinates that can be used in a PCA dot plot of the kind that is most commonly presented for identifying eg subgroups within a population with the aid of PCA (eg https://miro.medium.com/max/1200/1*oSOHZMoS-ZfmuAWiF8jY8Q.png).

    My guess is that one chooses the two “top” PCs in a 2-D plot and the top 3 in a 3-D plot. That would correspond to cells AW61:AW62 or AW61:AW63 in Fig 6, respectively.

    Are the above assumptions correct?

    Best,
    Dan

    Reply

    • Hello Dan,
      There are many opinions as to which PCs to retain, most commonly via the scree plot. I guess by definition for a 2D plot you would choose the top two and for a 3D plot you would choose the top three.
      Charles

      Reply

      • Ah, misunderstanding.

        My question was this: In the type of plot I was linking to, individual data points are shown as points in a space determined by the two or three PCs with highest eigenvalues. The actual coordinates of those points in the PC space, are those the values found in column AW in Fig 6? Or should those coordinates be calculated by a different method?

        It seems to me that the relative magnitude of the eigenvalues are not accounted for in the column AW values, so that the “swarm” of points appears to extend equally far in all PC directions. That would be misleading, wouldn’t it? I would imagine that instead of multiplying with AI61:AQ69, a matrix consisting of the eigenvector coordinates _multiplied by their respective eigenvalues_ should be used. But I am only guessing here. What do you say?

        Reply

          • Let’s say that. It could be a 3-D plot. It is not important, but let’s take 2-D. My question is: are the coordinates for the first data point in such a plot to be found in cells AW61:AW62 (or in AW61:AW63 for a 3-D plot)?

          • Hello Dan,
            I am still trying to understand what you are trying to plot. Are you trying to plot the original data transformed into the two or three dimensions defined by the principal component analysis (assuming two or three PCs are retained)?
            Charles

          • In reply to the question: “Are you trying to plot the original data transformed into the two or three dimensions defined by the principal component analysis (assuming two or three PCs are retained)?”

            The answer to that is yes.

          • Dan,
            In the example shown on the webpage, the 9 coordinates for each data element are mapped into 4 coordinates since 4 principal components are retained in the reduced model. (I believe that for your example, you will retain either 2 or 3 principal components instead of 4). Figure 6 shows the mapping of the 9 coordinates for the first data element into 9 PC coordinates. Since only 4 PCs are retained in the reduced model, I believe that you would retain only the first 4 of these coordinates, i.e. (.78, -1.97, -.23, 1.12). If your model retains only two PC’s, then the first two coordinates become the values that you would plot on the chart.
            The situation is a bit more complicated for the PC version of Factor Analysis, where factor scores are used. This is explained on the following webpage:
            Factor Scores
            (see, for example, Figure 1).
            Charles

        • Thank you very much. I am still a bit puzzled about how best to plot these values. The values in column AW of Fig 6 are standardised, as I understand it, meaning that regardless of the actual variance in the original data, they will be spread out equally in their respective PC dimensions. Right? If so, then it would not be discernible from such a plot which PC is responsible for which proportion of the variance. Isn’t that a drawback?

          And could one not use another eigenvector matrix to generate the data for the plot, where the magnitudes of the respective eigenvalues are accounted for as well?

          Reply

  21. I’m trying to teach myself PCA, and I would like to work your example out. Could you provide the entire original data set (all 120 students’ teacher ratings)? Thanks.

    Reply

  22. Hi Charles,

    Great example but I still do not understand what’s the final criteria of being a good teacher and the level of significance for each criteria based on your results. What I’m getting at basically is, if I want to use the results of the PCA as a weighing factor for each variable, how should I do it? What I mean by that is which of the characteristic should be chosen as final determinants/criteria of a good teacher and how much weight can be associated to each of the determinant based on the result of the PCA?

    Reply

  23. Can any variable be run on PCA? Like i have 8 variables namely Time of the day (1-24), day of the week (1-7) Month of the year (1-12) Working Day or Not (1 or 0) Actual Demand (in Megawatts), Average temperature (deg Celcius), Percent Humidity and Average Rainfall (mm). My data set is from January 1, 2012 to December 25, 2017. There are 52,465 rows of data since it is in hourly basis. Can i run all of theses in PCA?

    Reply

  24. Dear Charles,
    I performed 50 number of tests and calculated Mean, Median, Skew, Kurtosis, relevant x values for Probabilities of 1%, 2%,5%,10%,50% using WEIBULL_INV(p, β, α) and Normal inverse functions for each test. Can I use PCA for reducing these data to one or two variables for comparison?

    Reply

    • Umesh,
      Interesting idea. You can certainly perform PCA. I don’t know whether the results will be that useful, but you should try and see what happens.
      Charles

      Reply

  26. Hi Charles,

    Thanks for this article, could you explain a bit about bellow mentioned, I am quoting you here:

    Statment 1:”Alternatively we can simply use the Real Statistics formula COV(B4:J123) to produce the same result”

    My Understanding: It will produce covariance matrix of original data ranges (B4:J123)

    Statment 2: “Alternatively we can simply use the Real Statistics function CORR(B4:J123) to produce the same result”

    My Understanding : It will produce corelation matrix of my original data ranges (B4:J123)
    Statment 3: “We next calculate the eigenvalues for the correlation matrix using the Real Statistics eVECTORS(M4:U12) formula, as described in Linear Algebra Background. The result appears in range M18:U27 of Figure 5.”

    My Understanding: Calculate the eigen vector based on the corellation matrix which we obtained from statment 2 above and result is in M18:U27

    Statment 4: “Keep in mind that you need to standardize the values of the xj first since this is how the correlation matrix was obtained”

    My Understanding : CONFUSED !!
    Where did we standardise our intial data? the ‘xj’s here, we obtain both corelation and covariance matrix based on our original data that is ranges in B4:J123

    I know standardisation is required for PCA, but our operations of calculating eigenvactors etc. is based on corelation matrix which we obtained from corelation matrix calculated on our orginal data. So what is the point of covariance matrix or whats the use of the same.

    This is what you mentioned after we got the corelation matrix, but where did we standardize our data ? This corealtion matrix is based on our original data set.
    “Note that all the values on the main diagonal are 1, as we would expect since the variances have been standardized”

    Hope you clarify

    Reply

    • Udayan,
      Standardizing the data will result in a covariance matrix that has ones on the main diagonal. You get the same answer if instead of standardizing the data you use the correlation matrix (on the original data) instead of the covariance matrix.
      Charles

      Reply

  27. You say that ideally, we want to have each variable to highly correlated with only one principal component and that we will see that in the rotation section of factor analysis. But there, you apply the rotation to the first 4 column of the load matrix. Here we are interested in the eigen vectors and eigen values matrix. Can we apply the rotation, for example varimax, to the first four columns of this matrix as well?

    Reply

      • Here, for the principal component; you consider the matrix in figure 9. I quote you about the interpretation of the results “Ideally we would like to see that each variable is highly correlated with only one principal component. As we can see form Figure 9, this is the case in our example. Usually this is not the case, however, and we will show what to do about this in the Basic Concepts of Factor Analysis when we discuss rotation in Factor Analysis.” But in the factor analysis section, you rotate another matrix, not the one in figure 9 and this is also what the tool in the analysis toolpack do. My question is then, should we apply the rotation (for example varimax) to the matrix in figure 9? I understand that it will “work” in the sense that it is defined. But does it make sense to do so? Does it fit to the model; which resemble, but is not exactly the same as the one in the factor analysis? Would this return “Principal Component” that highly correlate with only one variable?

        Reply

  28. hi, great site and I like that you answer to our questions in a dedicated way and fast…The question I’d like to ask is what is the correlation of regression and PCA.
    From my understanding the correlations of a factor and its constituent variables is a form of linear regression – multiplying the x-values with estimated coefficients produces the factor’s values
    And my most important question is can you perform (not necessarily linear) regression by estimating coefficients for *the factors* that have their own now constant coefficients)

    Reply

  29. hi, I also wanted to ask was
    with is the difference between eigenvectors calculated from correlation matrix and eigenvectors calculated with covariance matrix?how are they different? for what purpose is each better suitable for?

    Reply

  30. Thanks for this! The breakdown through Excel helped me understand PCA a lot better.

    I’ve followed the accompanying workbook and I think there might be an error in the multivariate workbook in the PCA tab, AS61 to AS69 as it just picks up the first row in the raw data. Am I right in saying so?

    Cheers.

    Reply

    • Bea,
      I am pleased that this webpage helped you understand PCA better.
      The range AS61:AS69 is only intended to show the first row in the raw data, as explained in Figure 6 of the webpage.
      Charles

      Reply

  31. Hello Charles,
    I hope you are well! When you say:

    “Observation: Our objective is to choose values for the regression coefficients βij so as to maximize var(yi) subject to the constraint that cov(yi, yj) = 0 for all i ≠ j. We find such coefficients βij using the Spectral Decomposition Theorem (Theorem 1 of Linear Algebra Background). Since the covariance matrix is symmetric, by Theorem 1 of Symmetric Matrices, it follows that

    Σ = β D βT

    where β is a k × k matrix whose columns are unit eigenvectors β1, …, βk corresponding to the eigenvalues λ1, …, λk of Σ and D is the k × k diagonal matrix whose main diagonal consists of λ1, …, λk. Alternatively, the spectral theorem can be …”

    Do you mean Σy? Are we decomposing X’s covariance matrix or Y’s?

    Sorry, I think I got confused about that part.

    Thanks in advance!

    Fred

    Reply

    • Oooooops, sorry, it actually makes sense now…very nice… the betas cancel out and still the variance is maximised and the covariance minimised. This is actually one of those moments where maths are beautiful 🙂
      Is there a geometric interpretation of the process? It is almost like using an eigenvector basis that captures more variance than the standard basis…
      Once again, superb explanation!!!
      Thanks Charles

      Reply

    • Brian,
      Since beta is a k x k matrix, it really doesn’t matter whether we view Y = beta x X or Y = beta^T x X, as long as we are consistent.
      For any row i, beta_i^T is a k x 1 column vector whose values are the beta_ij values for the given i.
      I agree that the notation is a bit confusing. It is probably easier to following things using the real example that is described on the webpage.
      Charles

      Reply

  34. Dear Charles,
    Thanks for your website.
    I have done PCA calculation inch-by-inch on teachers data with a mix of R, Excel and now RDBMS.
    Here are the final results by sample sno.
    I have two questions:
    1. What after this. Which sample is the best fit.
    Like in Heptathlon example who becomes the winner.
    How do I calculate the final winner.
    What if final results do not match PCA scores.
    What I understood by PCA analysis it is telling me which attributes are important as per the student samples.
    Hence the name Principal Component Analysis.
    Can this tell me which student did the best analysis?

    2. It is though a trivial question, why do I have to reduce 9 dimensions to 4 only.
    Because with RDBMS coming into picture it takes no extra effort to calculate all 9 dimensions.

    thanks and regards

    Balnagendra

    “sno” “pc1” “pc2” “pc3” “pc4” “pc5” “pc6” “pc7” “pc8” “pc9”
    1 0.782502087334704 -1.96757592201719 0.23405809749101 -1.12370069530359 0.765679125793536 0.661425865567924 -0.222809638610116 -0.149636015110716 -0.566940520416496
    2 -0.974039659053665 2.04359104443955 -1.23102878804303 0.897707252817376 0.62491758484155 -1.09293623842783 -0.25896093055637 -0.225691994152001 -0.0398918478123148
    3 2.10935389975489 -1.13846368970928 -1.07593823321308 0.283099057955826 -0.454549023294147 0.48844080714382 -0.894717995156593 -1.13899026199429 0.332691886333957
    4 -0.724542053938968 0.691249601217778 -1.30865737642341 1.10848710931945 0.421806648458918 0.54955379892904 0.360672871353102 0.878709245413913 -0.414999556544989
    5 -2.05965764874651 0.67930546605803 -1.67250852628847 -0.442481799437531 0.441101216317619 -0.273201679728252 -0.500097018678376 0.271317803148488 0.225190072763112
    6 2.43697948851031 0.503973196537053 -0.464668276745191 -0.248369826536429 0.152057372044889 -0.0799040720635874 -0.629526574819221 0.607031366208402 0.885317491232681
    7 1.17245795137631 0.373731432198285 1.10867164120596 1.5678378018626 0.627519469278004 0.188683503372758 -0.07050766739135 0.132528422971828 0.0412494362260818
    8 0.929875093449278 0.311040551625064 0.145002287998668 0.283938851724668 0.564514738830247 0.642120596407302 0.319321868315749 -0.199037953705316 -0.0323163030469737
    9 1.66910346463562 -1.2212052055784 -1.28613633226678 0.871926188450568 0.70404050847328 0.265578633840202 0.221453746999601 -0.454372056267191 0.399659792858934
    10 -0.198902559902836 -0.529886141564662 -0.615238857850917 -1.19210853004315 -0.410788410814714 1.51598714991609 0.300040704880264 0.575755240080053 0.15679992171981
    11 -3.44923191481845 -1.29740802339576 -0.055992772070436 0.2457182327445 -1.65991556858923 -0.535506231103958 0.658015264886284 -0.95044986973395 0.000566072310586335
    12 -2.81692063293946 -3.40384190887908 -0.893243510415138 -2.21141879957508 0.434597001132725 0.519758768406618 0.85773115672659 0.101264311365968 -0.158952025440208
    13 3.59171215449185 1.89176724118918 0.309251533624552 0.148957624701782 1.04009291354419 0.495619063804899 -0.257887667064842 -0.470623791443016 -0.0260280774736903
    14 2.43512039662592 0.120346557491314 -0.896549265542583 -0.910496053134617 -0.23413309260305 0.652773344323182 -1.68141586952921 -0.209797697616484 0.912309673333395
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    16 2.24223480845739 2.35826977756215 1.2747368099665 -3.96720539683461 -0.466867078838757 0.121235298989979 -0.0232835231112048 -0.305793148606438 0.54092086078009
    17 0.643588469992117 -0.802846033161245 -1.15972977997649 1.24077586872133 0.109661349223429 -0.968391519947697 -0.685678339025484 0.0119856104795104 0.0191784905652393
    18 0.0605691510216728 0.440091501248074 -1.60061610404203 1.0351395426926 -0.586476218998342 -0.172542804522174 0.177496305442361 0.645297211995821 0.342240723425264
    19 0.89355982634065 -2.91635609294914 2.24844424549618 -0.00602433157646132 -0.0462814393706587 -0.015883213471414 -1.12544685259491 1.10394020113906 -0.668139093324923
    20 -2.57466224283692 0.958694578468226 -2.33723748181028 -0.282876078427233 0.212422390598862 1.23134839354597 -0.831918364183796 0.24837866691648 0.32331843221832
    21 -0.484481289090662 -0.501745627013796 2.75613339654198 -1.44825549659657 0.0156583659430092 -1.16699814608865 1.70208049153513 -0.531149553790845 0.405445852502525
    22 1.38777080666039 1.08048291166824 1.64908264825942 0.891736159284439 -0.00803677873848277 1.13661534154646 -0.247899574392479 -0.314678844686956 0.663010472845527
    23 -1.30290228195755 0.342299709437455 -0.371719818041046 0.902592218013332 -0.644777635093048 -0.0279742544685612 0.463999031647619 -0.62658910190333 -0.555196726833023
    24 0.213824122273244 -0.412684757562806 1.51531627755052 -0.583294864783411 -0.269411518958366 0.50295876036215 -0.690962661566869 0.479054580680195 -0.691970884957572
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    27 0.146685187402298 -0.590693721046644 -0.304710177633694 0.405116975656278 1.48346586150245 -0.293097908513852 -0.283789887164248 -0.311081345626959 -0.120469023615086
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    29 0.677288584895166 0.786255250303149 -0.837182955382588 -1.0384636819257 -0.594273812941059 -0.254082306924117 0.879639187633599 -0.163839757279767 0.811081335444439
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    31 1.7980302783598 2.12058438154593 -1.47851476432776 2.17827064659105 -1.40164741209632 -0.196539645614289 0.526985594001873 0.115189945764083 -0.486649352781431
    32 0.18785139181874 -0.95232113692873 -1.75829870416512 -0.238883929583808 0.787133265197832 -1.35733823181046 0.200841407511822 -0.0747419411673103 -0.657602221913508
    33 2.07360763220394 1.06731079583539 -0.622374706345469 -0.407774107153335 0.0130842816396723 -0.475625652632808 0.0294714493567123 -1.79423920739281 0.229505409374093
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    35 -0.0842635785978546 -0.808546183457541 -3.08423962863902 -0.252280507032949 0.0275689047741305 0.0489928109792082 -0.00971143118565888 -0.174008227810538 -0.0363928558907684
    36 1.1442444875801 -0.959543118874319 -0.118633559145614 0.258040522415929 0.989913450382754 -1.03561838547745 -0.266218359491416 -0.571758226928065 -0.0348342932688773
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    40 1.42985410475402 1.33176962888974 1.30276567831546 0.489155934453709 -1.62521812097704 -1.7684116429541 -0.254782304816342 0.363334625151276 -0.478314985300798
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    108 1.35670126833675 0.694742570552708 -0.259672560485204 -0.809509754909632 -1.17597046234099 -0.0214880708617368 0.0429637684842218 -0.437361088328435 -0.255383872018753
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    115 0.830625654450711 0.107149906923257 -0.673071791226227 -0.130827384010068 0.312021291744692 -0.320123878638598 0.779396677974048 0.0227761820854548 -0.131223943813128
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    119 0.434518690909247 -1.47435669830487 0.638029697817827 -1.41888400333751 1.22840696901026 -0.919590600708764 1.14298556571343 0.410082579985962 0.763656189315114
    120 2.39432410614097 -0.639946800268254 1.2838634032795 -2.00943802453156 -1.92731538158316 0.411153978504092 -0.225057540698097 -0.447525909487941 -0.0294705378851733

    Reply

    • Balnagendra,

      1) I am not familiar with the example you have provided nor the Heptathlon example, and so I don’t have the proper context to answer your questions, although it is likely that these are not the type of questions that PCA is designed to answer.

      As stated on the referenced webpage, Principal component analysis is a statistical technique that is used to analyze the interrelationships among a large number of variables and to explain these variables in terms of a smaller number of variables, called principal components, with a minimum loss of information.

      While PCA does identify which components are most important, these components are not the same as the original variables, but are instead a linear combination of these variables.

      2) While it is true that it doesn’t take more work to include all 9 dimensions, the main purpose of PCA is to reduce the number of dimensions, hopefully identifying hidden variables (the principal components) that capture the concepts in the more numerous original variables.

      Charles

      Reply

  35. eVectors function returns only 1 value instead of the expected table of values.

    I’ve tried highlighting a table before adding values but same result. Tried evect function as well, same result. Help is appreciated

    Reply

    • Disregard previous, I have since solved that issue.

      I am seeing a table of eigenvalues the same size as my matrix, where I understand it should be the size of my matrix + 1. My matrix is 11×11 so my return from the eVECTORS() function should be 12×11?

      Reply

      • Disregard, please delete this comment chain. I must be sleepy after lunch! I did not select an area large enough to display the full table. My apologies, I greatly appreciate your RealStatistics package and this writeup as well. It is thorough, understandable, and IMMENSELY helpful

        Reply

  36. Dear Charles:
    when I was learning Lotus1,2,3 several (actually a lot!) of years ago, my professor said that by 2010 scientists would not need anything except a spreadsheet management software to perform their daily statistics tasks. He missed the mark, but thanks to professionals like you, we are getting there. Your work is outstanding. For people like me, interested more in the practical sense of statistics rather than the mathematical theory being, but still liking enjoying “to crunch the numbers” by ourselves, your excel product is simply pure bliss, so easy to understand an use. Thank you so much, sincerely.

    And a question: I am working with a matrix of observations from a nominal scale (1 to 5). I feel that PCA could give me some good results, but my variables are more than my samples. Is that an scenario allowed for PCA?

    Reply

    • Luis,
      I also used Lotus 123 a hundred years ago (and Visicalc before that). I am glad that your like Real Statistics. I have tried to make the website understandable for people with a good mathematics background and those without. It is good to hear that at least sometimes I have succeeded.
      I have two questions for you, which should help me better understand your question to me:
      1. Are the scale elements 1 to 5, ordered (Likert scale)?
      2. What do you mean when you say that your “variables are more than [your] samples”?
      Charles

      Reply

      • Hi Charles, thanks you very much for your prompt response.
        You are right on the money: we are using a Likert scale were 1 is total disagreement and 5 total agreement.
        This is for a team project on organizational behavior. I called “sample” to each one of the people surveyed and “variable” to each characteristic evaluated (perception on group morale, quality of communication, etc.). It is very similar to your example with teachers evaluation but you have 120 students and 9 characteristics. I have 25 people and 50 characteristics.
        Hope that answer your questions.
        Thanks again for you kind attention

        Reply

        • Luis,
          It looks pretty similar. The real difference is that the sample size is much smaller (120 vs. 25). It seems like you should be able to use PCA. I suggest that you try and see what happens.
          Charles

          Reply

  37. I’m wondering if with real statistics you can get the “typical” graph of PCA the one that has the two main principal components and all the vectors. I have watched some videos and kind of read your post but I don´t find that graphic.

    Thanks

    Reply

  38. Dear Charles,
    Many thanks for your page. You really simplified the problem and it became very easy to understand.
    Now need how to get coordinates of variables to make plot.
    Also how to do the same thing with rows.

    A

    Reply

  39. Dr. Zaiontz –

    I’m doing a replication study of a complex model with multiple inputs. The survey questions map to different inputs for the model formula. For example, Questions 1, 2, and 3 map to input X of the model and Questions 4, 5, and 6 map to input Y. Would I perform separate covariant analyses on each group of questions to obtain the coefficient for the model, as opposed to comparing all of the questions?

    Thank you

    Reply

  40. Good day, Sir Charles.

    Thank you for your clear and concise explanation. Currently, I am having trouble with my thesis since it consists of correlated variables. I have a total of 11 variables. My concern now is after PCA or after I choose the variables that should be included in the model, how would I run multiple regression and see the effect of predictors? Thank you so much, sir!

    Reply

  41. kindly Dr. Charles, I have a questionnaire with three main dimensions and 44-structured items. My question is, can I used PCA three times, individually with each dimension. Because, the results will be not correlated if I use PCA for all items. And is that acceptable statically. Could you please, provide me some papers as an deviance for this case.
    Regards,

    Raed Ameen

    Reply

    • Raeg,
      If there is limited correlation between items in the three dimensions, then three separate PCA’a seems reasonable. Sorry, but I don’t have any references.
      Charles

      Reply

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