Principal component analysis on a matrix

[PMaier]

Hi,

I'd like to use principal component analysis on a matrix and retrieve the scores.

I can use

matrixname.pcomp(eigval=v1, eigvec=m1)

to calculate the eigenvalues and eigenvectors, but there doesn't seem to be a command to calculate the scores -- although when I use the dialog box, I can store them in a series, so the capability is there.

Put differently, if my matrix were a group object, I'd use

groupname.makepcomp

and I'm assuming that there is a similar command for matrices, too?

Many thanks, Philipp

[EViews Gareth]

Code: Select all

matrix.makepcomp(score=myname) 3

saves the first 3 scores in a matrix called myname.

[EViews Glenn]

The reason for the difference is that the matrices are not generally the same size as a workfile so that the scores can't be put into a set of series as in the group case. Thus, we allow you to save them into a matrix.

[PMaier]

Gareth,

You made my day.

Philipp

PS I don't think it's in the manual -- if that's correct, it might be worth adding for the next iteration.

[EViews Glenn]

I believe you are correct. On both counts.