PCA.m with data containing NaN (ncnancov.m bug ?)

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Matlab2010 2013-11-29

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https://ww2.mathworks.cn/matlabcentral/answers/108012-pca-m-with-data-containing-nan-ncnancov-m-bug

评论： Stephen23 2015-12-22

I can run the following,

    data = randn(2.7E6,79);
    [~,score,~,~,explained, ~] = pca(data);

I also have a real data matrix of the same size (79 variables, 2.7E6 observations).

Each row ( i.e. time step) has at least one NaN, in one of the variables. Because of this localSVD.m returns a blank. ie pca.m fails.

I can not replace the NaN with zero as this will change the data (the data is a differenced time series, hence zero means something very different to NaN).

I then try a different approach,

[~,score,~,~,explained, ~] = pca(data,'Algorithm','eig', 'Rows', 'pairwise');

the code fails,

Error using eig
Input to EIG must not contain NaN or Inf.
Error in pca>localEIG (line 441)
[coeff, eigValueDiag] = eig(xCov);
Error in pca (line 308)
    [coeff, eigValues] = localEIG(x, vCentered, vRows, vWeights,...
Error in cce_moonShine_L1_PCA (line 28)
[~,score,~,~,explained, ~] = pca(data,'Algorithm','eig', 'Rows', 'pairwise');