MATLAB主成分分析相关

 

matlab主成分分析的函数是 princomp,位于statistical tool box里。它的用法如下 ：

[coeff, score, latent, tsquare] = princomp(x,econFlag)

x是样本矩阵，行是样本，列是特征。设 x为  N*P.

ecnoFlag:默认是0

% When X has more variables than observations, the default behavior is to
% return all the pc's, even those that have zero variance.  When econFlag
% is 'econ', those will not be returned.

X是原始数据军阵

coeff  P*P,第i列对应第i个主成变换分向量

score:N*P,每个样本的主成分表示

latent： coeff的协方差矩阵，也就是X的散度矩阵的特征值组成的对角阵

tsquare:returns Hotelling's  T-squared statistic for each observation in X.