Source: Cross Validated
- ttnphns
In PCA, you split covariance (or correlation) matrix into scale part (eigenvalues) and direction part (eigenvectors). You may then endow eigenvectors with the scale: loadings. So, loadings are thus become comparable by magnitude with the covariances/correlations observed between the variables, - because what had been drawn out from the variables' covariation now returns back - in the form of t