PrincipalComponentAnalysisFromCorrelationMatrix Method

Constructs a new Principal Component Analysis from a Correlation matrix.

Namespace: Accord.Statistics.Analysis
Assembly: Accord.Statistics (in Accord.Statistics.dll) Version: 3.8.0

Syntax

public static PrincipalComponentAnalysis FromCorrelationMatrix(
	double[] mean,
	double[] stdDev,
	double[,] correlation
)

Public Shared Function FromCorrelationMatrix ( 
	mean As Double(),
	stdDev As Double(),
	correlation As Double(,)
) As PrincipalComponentAnalysis

mean: Type: SystemDouble
The mean vector for the source data.
stdDev: Type: SystemDouble
The standard deviation vectors for the source data.
correlation: Type: SystemDouble
The correlation matrix of the data.

Remarks

This method may be more suitable to high dimensional problems in which the original data matrix may not fit in memory but the covariance matrix will.

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