PCA Class |
Class which perform Principal Component Analysis (PCA).
http://en.wikipedia.org/wiki/Principal_component_analysis
Inheritance HierarchySystemObject
FinMath.FactorAnalysisFactorTransformation
FinMath.FactorAnalysisAffineTransformation
FinMath.FactorAnalysisPCA
FinMath.FactorAnalysisFactorTransformation
FinMath.FactorAnalysisAffineTransformation
FinMath.FactorAnalysisPCA
Namespace: FinMath.FactorAnalysis
Assembly: FinMath (in FinMath.dll) Version: 2.4.7-0a995bd0ea1854c2c868ec3f8dae606c5777e170
SyntaxC#
[SerializableAttribute] public class PCA : AffineTransformation
The PCA type exposes the following members.
Constructors| Name | Description | |
|---|---|---|
 | PCA(Matrix) |
Perform Principal Component Analysis Algorithm
and produce all vectors.
|
| PCA(Matrix, Int32) |
Perform Principal Component Analysis Algorithm
and produce first PrincipalComponentsCount vectors.
|
Properties| Name | Description | |
|---|---|---|
 | AllEigenvectors |
(V) Matrix consisting of the set of all eigenvectors of covariance matrix, one eigenvector per column.
|
| CumulativeEnergy |
(g) Vector of cumulative energy content for each eigenvector.
|
| Eigenvalues |
(d) Vector consisting of the set of all eigenvalues of CovarianceMatrix.
|
| InverseTransformation |
(inverseW) PseudoInverse of Matrix of basis vectors, one vector per column, where each basis vector is one of the eigenvectors of CovarianceMatrix,
and where the vectors in TransformationMatrix are a sub-set of those in AllEigenVectors.
|
| Means |
(u) Vector of empirical means, one mean for each column of the data matrix.
|
| NeedCenteringNewData |
Specify this flag if you need new observations to be centered before transform in Transform \ InverseTransform
|
| OriginalVariablesCount |
Variables count in source dataset.
(Inherited from FactorTransformation.) |
| Status |
Method Status.
(Inherited from FactorTransformation.) |
| TransformationMatrix |
(W) Matrix of basis vectors, one vector per column, where each basis vector is one of the eigenvectors of CovarianceMatrix,
and where the vectors in TransformationMatrix are a sub-set of those in AllEigenVectors.
|
| TransformedVariablesCount |
Transformed components count.
(Overrides FactorTransformationTransformedVariablesCount.) |
Methods| Name | Description | |
|---|---|---|
| Equals | Determines whether the specified object is equal to the current object. (Inherited from Object.) |
| GetHashCode | Serves as the default hash function. (Inherited from Object.) |
| GetType | Gets the Type of the current instance. (Inherited from Object.) |
| InverseTransform(Matrix) |
Apply computed inverse transformation to transformed component samples.
(Inherited from FactorTransformation.) |
| InverseTransform(Vector) |
Apply computed inverse transformation to transformed component sample.
(Inherited from FactorTransformation.) |
| InverseTransform(Matrix, Matrix) |
Apply computed inverse transformation to transformed component samples.
(Inherited from AffineTransformation.) |
| InverseTransform(Vector, Vector) |
Apply computed inverse transformation to transformed component sample.
(Inherited from AffineTransformation.) |
| ToString | Returns a string that represents the current object. (Inherited from Object.) |
| Transform(Matrix) |
Apply computed transformation to new observations.
(Inherited from FactorTransformation.) |
| Transform(Vector) |
Apply computed transformation to new observation.
(Inherited from FactorTransformation.) |
| Transform(Matrix, Matrix) |
Apply computed transformation to new observations.
(Inherited from AffineTransformation.) |
| Transform(Vector, Vector) |
Apply computed transformation to new observation.
(Inherited from AffineTransformation.) |
See Also