7 may. 2017

Easy way to check the eigen values with the T (scores) matrix

Other interesting Matrix multiplication is the product of the score matrix T by it´s transpose in this way:


This product give us a square matrix (a.a), being “a” the number of loadings or PCs chosen, and the diagonal has the eigenvalues which are related to the quantity of explained variance for every loading.

If we plot the diagonal we can see how the eigenvalue decrease by every loading. This plot can help us to decide how many loadings or PCs to choose.

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