You are on page 1of 3

# 2/10/13

## 6.5.5.2. Numerical Example

6. Process or Product Monitoring and Control 6.5. Tutorials 6.5.5. Principal Components

## 6.5.5.2. Numerical Example

Calculation of principal components example Sample data set A numerical example may clarify the mechanics of principal component analysis.

Let us analyze the following 3-variate dataset with 10 observations. Each observation consists of 3 measurements on a wafer: thickness, horizontal displacement and vertical displacement.

## Solve for the roots of R

Next solve for the roots of R, using software value proportion 1 1.769 2 .927 3 .304 .590 .899 1.000
1/3

www.itl.nist.gov/div898/handbook/pmc/section5/pmc552.htm

2/10/13

## 6.5.5.2. Numerical Example

Notice that Each eigenvalue satisfies |R- I| = 0. The sum of the eigenvalues = 3 = p, which is equal to the trace of R (i.e., the sum of the main diagonal elements). The determinant of R is the product of the eigenvalues. The product is 1 x 2 x 3 = .499. Compute the first column of the V matrix Substituting the first eigenvalue of 1.769 and R in the appropriate equation we obtain

This is the matrix expression for 3 homogeneous equations with 3 unknowns and yields the first column of V: .64 .69 -.34 (again, a computerized solution is indispensable). Compute the remaining columns of the V matrix Repeating this procedure for the other 2 eigenvalues yields the matrix V

Notice that if you multiply V by its transpose, the result is an identity matrix, V'V=I. Compute the L1/2 matrix Now form the matrix L1/2 , which is a diagonal matrix whose elements are the square roots of the eigenvalues of R. Then obtain S, the factor structure, using S = V L1/2

So, for example, .91 is the correlation between variable 2 and the first principal component. Compute the communality Next compute the communality, using the first two eigenvalues only

www.itl.nist.gov/div898/handbook/pmc/section5/pmc552.htm

2/3

2/10/13

## Diagonal elements report how much of the variability is explained

Communality consists of the diagonal elements. var 1 .8662 2 .8420 3 .9876 This means that the first two principal components "explain" 86.62% of the first variable, 84.20 % of the second variable, and 98.76% of the third.

## Compute the coefficient matrix

The coefficient matrix, B, is formed using the reciprocals of the diagonals of L1/2

## Compute the principal factors

Finally, we can compute the factor scores from ZB, where Z is X converted to standard score form. These columns are the principal factors.

## Principal factors control chart

These factors can be plotted against the indices, which could be times. If time is used, the resulting plot is an example of a principal factors control chart.

www.itl.nist.gov/div898/handbook/pmc/section5/pmc552.htm

3/3