The Principal Component Analysis (PCA) is equivalent to fitting an n-dimensional ellipsoid to the data, where the eigenvectors of the covariance matrix of the data set are the axes of the ellipsoid. The eigenvalues represent the distribution of the variance among each of the eigenvectors. To understand the method, it is helpful to know something about matrix algebra, eigenvectors, and eigenvalues. Here is a n=2 dimensional example to perform a PCA without the use of the NumPy function pca, but with the function of eig for the calculation of eigenvectors and eigenvalues. Continue reading “Principal Component Analysis in 6 Steps – the Python Version”
