PRINCIPAL COMPONENTS

ANALYSIS (PCA)

Steven M. Ho!and
Department of Geology, University of Georgia, Athens, GA 30602-2501

May 2008
Introduction
Suppose we had measured two variables, length and width, and plotted them as shown below.
Both variables have approximately the same variance and they are highly correlated with one
another. We could pass a vector through the long axis of the cloud of points and a second
vector at right angles to the first, with both vectors passing through the centroid of the data.

Once we have made these vectors, we could find the coordinates of all of the data points rela-
tive to these two perpendicular vectors and replot the data, as shown here (both of these fig-
ures are from Swan and Sandilands, 1995).

In this new reference frame, note that variance is greater along axis 1 than it is on axis 2. Also
note that the spatial relationships of the points are unchanged; this process has merely ro-
tated the data. Finally, note that our new vectors, or axes, are uncorrelated. By performing
such a rotation, the new axes might have particular explanations. In this case, axis 1 could be
regarded as a size measure, with samples on the left having both small length and width and
samples on the right having large length and width. Axis 2 could be regarded as a measure of
shape, with samples at any axis 1 position (that is, of a given size) having dierent length to
width ratios. PC axes will generally not coincide exactly with any of the original variables.

Although these relationships may seem obvious, when one is dealing with many variables, this
process allows one to assess much more quickly any relationships among variables. For data

Principal Components Analysis 1

sets with many variables, the variance of some axes may be great, whereas others may be
small, such that they can be ignored. This is known as reducing the dimensionality of a data
set, such that one might start with thirty original variables, but might end with only two or
three meaningful axes. The formal name for this approach of rotating data such that each
successive axis displays a decreasing among of variance is known as Principal Components
Analysis, or PCA. PCA produces linear combinations of the original variables to generate the
axes, also known as principal components, or PCs.

Computation
Given a data matrix with p variables and n samples, the data are first centered on the means
of each variable. This will insure that the cloud of data is centered on the origin of our prin-
cipal components, but does not aect the spatial relationships of the data nor the variances
along our variables. The first principal components (Y1) is given by the linear combination of
the variables X1, X2, ...,Xp

Y1 = a11 X1 + a12 X2 + ... + a1p Xp

or, in matrix notation

Y1 = aT1 X
The first principal component is calculated such that it accounts for the greatest possible
variance in the data set. Of course, one could make the variance of Y1 as large as possible by
choosing large values for the weights a11, a12, ... a1p. To prevent this, weights are calculated
with the constraint that their sum of squares is 1.

a211 + a212 + ... + a21p = 1

The second principal component is calculated in the same way, with the condition that it is
uncorrelated with (i.e., perpendicular to) the first principal component and that it accounts
for the next highest variance.

Y2 = a21 X1 + a22 X2 + ... + a2p Xp

This continues until a total of p principal components have been calculated, equal to the
original number of variables. At this point, the sum of the variances of all of the principal
components will equal the sum of the variances of all of the variables, that is, all of the origi-
nal information has been explained or accounted for. Collectively, all of these transforma-
tions of the original variables to the principal components is

Y = AX
Calculating these transformations or weights requires a computer for all all but the smallest
matrices. The rows of matrix A are called the eigenvectors of matrix Sx, the variance-
covariance matrix of the original data. The elements of an eigenvector are the weights aij, and

Principal Components Analysis 2

are also known as loadings. The elements in the diagonal of matrix Sy, the variance-
covariance matrix of the principal components, are known as the eigenvalues. Eigenvalues
are the variance explained by each principal component, and to repeat, are constrained to
decrease monotonically from the first principal component to the last. These eigenvalues are
commonly plotted on a scree plot to show the decreasing rate at which variance is explained
by additional principal components.

2



0



log(variance)

2




4




6

5 10 15 20

principle component

The positions of each observation in this new coordinate system of principal components are
called scores and are calculated as linear combinations of the original variables and the
weights aij. For example, the score for the rth sample on the kth principal component is calcu-
lated as

Ykr = ak1 xk1 + ak2 xk2 + ... + akp xkp

In interpreting the principal components, it is often useful to know the correlations of the
original variables with the principal components. The correlation of variable Xi and principal
component Yj is

!
rij = a2ij V ar (Yj ) /sii

Because reduction of dimensionality, that is, focussing on a few principal components versus
many variables, is a goal of principal components analysis, several criteria have been proposed
for determining how many PCs should be investigated and how many should be ignored. One
common criteria is to ignore principal components at the point at which the next PC oers
little increase in the total variance explained. A second criteria is to include all those PCs up
to a predetermined total percent variance explained, such as 90%. A third standard is to ig-
nore components whose variance explained is less than 1 when a correlation matrix is used or
less than the average variance explained when a covariance matrix is used, with the idea being

Principal Components Analysis 3

that such a PC oers less than one variables worth of information. A fourth standard is to
ignore the last PCs whose variance explained is all roughly equal.

Principal components are equivalent to major axis regressions. As such, principal compo-
nents analysis is subject to the same restrictions as regression, in particular multivariate nor-
mality. The distributions of each variable should be checked for normality and transforms
used where necessary to correct high degrees of skewness in particular. Outliers should be
removed from the data set as they can dominate the results of a principal components analy-
sis.

PCA in R
1) Do an R-mode PCA using prcomp() in R. To do a Q-mode PCA, the data set should be
transposed before proceeding. R-mode PCA examines the correlations or covariances among
variables, whereas Q-mode focusses on the correlations or covariances among samples.

> mydata <- read.table(file="mydata.txt", header=TRUE,

row.names=1, sep=",")

> mydata.pca <- prcomp(mydata, retx=TRUE, center=TRUE,

scale.=TRUE)
# variable means set to zero, and variances set to one
# sample scores stored in mydata.pca$x
# loadings stored in mydata.pca$rotation
# singular values (square roots of eigenvalues) stored
# in mydata.pca$sdev
# variable means stored in mydata.pca$center
# variable standard deviations stored in mydata.pca$scale

> sd <- mydata.pca$sdev

> loadings <- mydata.pca$rotation
> rownames(loadings) <- colnames(mydata)
> scores <- mydata.pca$x

2) Do a PCA longhand in R:

> R <- cor(mydata)

# calculate a correlation matrix

> myEig <- eigen(R)

# find the eigenvalues and eigenvectors of correlation matrix
# eigenvalues stored in myEig$values
# eigenvectors (loadings) stored in myEig$vectors

> sdLONG <- sqrt(myEig$values)

# calculating singular values from eigenvalues

> loadingsLONG <- myEig$vectors

Principal Components Analysis 4

 > rownames(loadingsLONG) <- colnames(mydata)
# saving as loadings, and setting rownames

> standardize <- function(x) {(x - mean(x))/sd(x)}

> X <- apply(mydata, MARGIN=2, FUN=standardize)
# transforming data to zero mean and unit variance

> scoresLONG <- X %*% loadingsLONG

# calculating scores from eigenanalysis results

3) Compare results from the two analyses to demonstrate equivalency. Maximum dierences
should be close to zero if the two approaches are equivalent.

> range(sd - sdLONG)

> range(loadings - loadingsLONG)
> range(scores - scoresLONG)

4) Do a distance biplot (see Legendre & Legendre, 1998, p. 403)

> quartz(height=7, width=7)

> plot(scores[,1], scores[,2], xlab="PCA 1", ylab="PCA 2",
type="n", xlim=c(min(scores[,1:2]), max(scores[,1:2])),
ylim=c(min(scores[,1:2]), max(scores[,1:2])))
> arrows(0,0,loadings[,1]*10,loadings[,2]*10, length=0.1,
angle=20, col="red")
# note that this scaling factor of 10 may need to be changed,
# depending on the data set

> text(loadings[,1]*10*1.2,loadings[,2]*10*1.2,
rownames(loadings), col="red", cex=0.7)
# 1.2 scaling insures that labels are plotted just beyond
# the arrows

> text(scores[,1],scores[,2], rownames(scores), col="blue",

cex=0.7)

Principal Components Analysis 5

 15
CJ001

10
CJ011

PCA 2

5
Na
KB
Li
W

Sr As
Ba Si Ca
Th Cd
CJ003 AgTi
CJ045
CJ043Au
CJ025 Be CJ005
CJ041
CJ023
CJ047 d18O
JK013 DH Cu

0
pH
DC002
JK012
JK014 CJ017
Hg CJ009
Zn Sb
Se
Tl
CJ051
CJ053
CJ063
CJ027
CJ049
Mn
Co
Mo
CJ007
U CeY
LaNi
Cr
Pb
Mg
VP
Fe
Al
SO4
CJ015 CJ019
CJ029
CJ031
CJ039
CJ037
DC008 DC011
DC012 CJ021
CJ035 DC006

0 5 10 15

PCA 1

> quartz(height=7, width=7)

> biplot(scores[,1:2], loadings[,1:2], xlab=rownames(scores),
ylab=rownames(loadings), cex=0.7)
# using built-in biplot function

0.0 0.2 0.4 0.6

0.6
15

0.4

CJ001
10

K
WBCJ011
Na
Li
PC2

As
Sr
0.2
5

Ca
Ba Th
Si Cd
Ag Ti
Au Be
CJ003
CJ045
CJ043
CJ025
CJ041 d18O CJ005
0.0

CJ023
CJ047 DH Cu
JK013 Zn Sb
0

pH CJ051
DC002
JK012
JK014CJ017CJ009
Hg
CJ053
CJ063
CJ027
CJ049 CJ007 Mn Se
Tl
Co
Mo
CJ015CJ019
CJ029
CJ031
CJ039
CJ037 U Ce
La
VP
Ni
Cr
Pb
DC008DC011
YMg
DC012 CJ021
CJ035 Fe DC006
Al
SO4

0 5 10 15

PC1

5) Do a correlation biplot (see Legendre & Legendre, 1998, p. 404)

> quartz(height=7, width=7)

> plot(scores[,1]/sd[1], scores[,2]/sd[2], xlab="PCA 1",
ylab="PCA 2", type="n")
> arrows(0,0,loadings[,1]*sd[1],loadings[,2]*sd[2],

Principal Components Analysis 6

 length=0.1, angle=20, col="red")
> text(loadings[,1]*sd[1]*1.2,loadings[,2]*sd[2]*1.2,
rownames(loadings), col="red", cex=0.7)
> text(scores[,1]/sd[1],scores[,2]/sd[2], rownames(scores),
col="blue", cex=0.7)
# 1.2 scaling insures that labels are plotted just beyond
# the arrows

4
CJ001

CJ011

3
2
PCA 2

Na
KB
Li
W
1

Sr As
Ba Ca
CJ003 Th
Si Cd
CJ045 Ag Ti CJ005
CJ043
CJ025
CJ041Au
CJ023 d18OBe
pH CJ047
JK013Hg DH Cu
SbSe
0

DC002
JK012 CJ017 CJ009
Zn Tl
JK014
CJ051
CJ053 Mn
Co
Mo
Ni
Cr
Pb
CJ063
CJ027 U Y
CeMg
La
VAlP
CJ049 CJ007 Fe
SO4
CJ019 DC008 DC011
DC012
CJ015
CJ029 CJ021
CJ031
CJ039
CJ037
CJ035
DC006
1

1 0 1 2 3 4

PCA 1

> quartz(height=7, width=7)

> biplot(mydata.pca)
# using built-in biplot function of prcomp(); note that only
# the top and right axes match the coordinates of the points;
# also note that still doesn't quite replicate the correlation
# biplot. Its unclear what this function really does.

Principal Components Analysis 7

 5 0 5 10 15

CJ001

0.6
CJ011

15
0.4

10
PC2

0.2
Na
K
WB
Li

5
Sr As
Ba Si
CJ003 ThCa
AgCd
TiCJ005
CJ045
CJ043
CJ025
Au
CJ041 Be
CJ023 d18O

0.0
CJ047
pHJK013
Hg
CJ017 DH
CJ009
Zn Cu
Sb

0
DC002
JK012
JK014
CJ051
CJ053 Se
MnTl
Co
Mo
Ni
Cr
Mg
Pb
CJ063
CJ027
CJ049 CJ007 Y
U SO4
Ce
La
V
FeP
Al
CJ019
CJ015 DC008
DC012CJ021
DC011
CJ029
CJ031
CJ039
CJ037
CJ035 DC006

5
0.0 0.2 0.4 0.6

PC1

6) Calculate the correlation coecients between variables and principal components

> correlations <- t(loadings)*sd

# find the correlation of all the variables with all PC's

> correlations <- cor(scores,mydata)

# another way to find these correlations

7) Plot a scree graph

> quartz(height=7, width=7)

> plot(mydata.pca)
# using built-in function for prcomp; may not show all PCs

Principal Components Analysis 8

 mydata.pca

20
15
Variances

10
5
0

> quartz(height=7, width=7)

> plot(log(sd^2), xlab="principle component",
ylab="log(variance)", type="b", pch=16)
# using a general plot, with variance on a log scale

20
log(variance)

40
60

0 5 10 15 20 25 30 35

principle component

8) Find variance along each principal component and the eigenvalues

> newsd <- sd(scores)

> max (sd - newsd)
# finds maximum difference between the standard deviation form

Principal Components Analysis 9

 # prcomp and the standard deviation calculated longhand;
# should be close to zero

> eigenvalues <- sd^2

> sum(eigenvalues)
# should equal number of variables

> length(mydata)
# number of variables

9) Save loadings, scores, and singular values to files

> write.table(loadings, file="loadings.txt")

> write.table(scores, file="scores.txt")
> write.table(sd, file="sd.txt")

References
Legendre, P., and L. Legendre, 1998. Numerical Ecology. Elsevier: Amsterdam, 853 p.

Swan, A.R.H., and M. Sandilands, 1995. Introduction to Geological Data Analysis. Blackwell
Science: Oxford, 446 p.

Principal Components Analysis 10