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PrincipalComponentAnalysis. FromCorrelationMatrix 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
)
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Parameters

mean
Type:System.Double[]
The mean vector for the source data.
stdDev
Type:System.Double[]
The standard deviation vectors for the source data.
correlation
Type:System.Double[,]
The correlation matrix of the data.

Return Value

Type: PrincipalComponentAnalysis
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.
See Also