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njit-etd2003-081 - New Jersey Institute of Technology

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111<br />

These ideas are easily extended to the case <strong>of</strong> P variables x 1 , x 2 ,...,xp . Each<br />

principal component is a linear combination <strong>of</strong> the x variables. Coefficients <strong>of</strong> these<br />

linear combinations are chosen to satisfy the following three requirements:<br />

2. The values <strong>of</strong> any two principal components are uncorrelated.<br />

3. For any principal component the sum <strong>of</strong> the squares <strong>of</strong> the coefficients is one.<br />

In other words, C 1 is the linear combination <strong>of</strong> the largest variance. Subject to the<br />

condition that it is uncorrelated with C 1 , C2 is the linear combination with the largest<br />

variance. Similarly, C3 has the largest variance subject to the condition that it is<br />

uncorrelated with C I and C2 , etc. The VarCi are the eigenvalues. These P variances<br />

add up to the original total variance. In some literature the set <strong>of</strong> coefficients <strong>of</strong> the<br />

linear combination for the ith principal component is called the ith eigenvector (also<br />

known as the characteristic or latent vector).

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