[Gretl-devel] Re: about the eigensym() and princomp() help
On 12/12/2025 15:03, Sven Schreiber wrote:
Hi all,
I'm currently comparing more closely the different ways of how to
compute principal components, leading to some remarks or suggestions
(and questions) about the respective documentation.
1) eigensym:
(i) The resulting eigenvalues are ascending, and there's a relatively
complicated code example about how to get them in descending order,
namely:
[...]
I guess that this help predates the introduction of the mreverse()
function?
Yes
So, OK to change the help example there? Or am I missing something?
Let's change it, yes. Could you please see to it?
2) princomp:
There's a verbal explanation of how they are computed, which I find
difficult to follow.
Yes, that occurred to me too. I think we may want to reword it a little.
I have verified that the following computations coincide: [...]
That's not necessarily true, because the eigenvectors (and hence the
principal components) are identified up to a sign switch. Moreover,
there's an even neater way:
<hansl>
clear
A = mnormal(30,10)
# SVD-based
matrix ps = empty
l = svd(cdemean(A), &ps)
ps = ps .* l
</hansl>
I think it would be helpful to include an example like this one in
the
princomp help. Or maybe a variant based on the correlation matrix
(default in princomp) instead of the covariance like here. OK?
Fine by me.
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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