PCA Constructor (Matrix, Int32)

Perform Principal Component Analysis Algorithm and produce first PrincipalComponentsCount vectors.

Namespace: FinMath.FactorAnalysis
Assembly: FinMath (in FinMath.dll) Version: 2.4.7-0a995bd0ea1854c2c868ec3f8dae606c5777e170

Syntax

public PCA(
	Matrix sourceData,
	int principalComponentsCount
)

sourceData: Type: FinMath.LinearAlgebraMatrix
Data source matrix. Rows of sorceData correspond to observations, columns to variables.
principalComponentsCount: Type: SystemInt32
The number of dimensions in the dimensionally reduced subspace.