Overview of Principal Component Analysis
A principal component analysis models the variation in a set of variables in terms of a smaller number of independent linear combinations (principal components) of those variables.
If you want to see the arrangement of points across many correlated variables, you can use principal component analysis to show the most prominent directions of the high-dimensional data. Using principal component analysis reduces the dimensionality of a set of data. Principal components is a way to picture the structure of the data as completely as possible by using as few variables as possible.
For p variables, p principal components are formed as follows:
• The first principal component is the linear combination of the ...