Am 06.03.2012 00:18, schrieb Allin Cottrell:
> On Mon, 5 Mar 2012, Henrique Andrade wrote:
>
>> Dear Gretl Community,
>>
>> In a "Principal Component Analysis" context, is there an accessor that can
>> be used for retrieve the component loading coefficients into a matrix?
>
> No, but you can easily get such a matrix by using eigensym() on the
> correlation (or covariance) matrix of the list of series (converted
> to a matrix). Example:
>
> <hansl>
> open data7-12
> list L = wbase length width height weight cyl liters
> matrix C = mcorr({L})
> matrix V
> eigensym(C,&V)
> print V # eigenvectors = loadings
> # compare the PCA printout
> pca L
> </hansl>
>
> Note that eigensym() orders things by ascending value, so the
> loadings associated with the first principal component are in the
> last column of V.
>
I'm wondering whether there may be a case to extend the princomp()
function somewhat to get a direct access to that (optional third matrix
parameter in pointer form for example). Sure it would be sort of
redundant from a syntactic point of view, but since those eigenvectors
have to be computed anyway it could be an efficient way to get those.
cheers,
sven