On the algebraic relation between principal components corresponding to two different sets of weights

Jacques Bénasséni (1)

1 IRMAR - Institut de Recherche Mathématique de Rennes

In principal component analysis, it is sometimes useful to give weights to observations. When two different sets of weights are attached to the observations of a data table, we derive the algebraic relation between the corresponding two principal component matrices.

Mots clés: principal component analysis; weights

Domaines: Statistiques [math.ST]; Théorie [stat.TH]

Jacques Bénasséni. On the algebraic relation between principal components corresponding to two different sets of weights. Linear and Multilinear Algebra, 2010, 58 (4), pp.425-429. ⟨10.1080/03081080802632701⟩. ⟨hal-00489057⟩