How to calculate the covariance and correlation among variables and principal components.

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HUAN 2014-4-6

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回答： Amish 2024-10-8

When i was doing the PCA analysis, i wanna calculate the covariance and correlations among variables and principal components to see which variables are important based on this correlation matrix?

I don't know how to do that.

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Answer 1

Amish 2024-10-8

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Hi Huan,

I see that you want to perform a PCA analysis and calculate the covariance and correlations among principal components.

This can be performed using existing functionalities in-built in the MATLAB. Here is a generic example (using a random sample set) highlighting how you can do the same:

% Example Data
X = randn(100, 5); 
X_standardized = zscore(X);
% PCA
[coeff, score, latent, ~, explained] = pca(X_standardized);
% Covariance and Correlation with PCs
covMatrix = cov(X_standardized);
corrMatrix = corr(X_standardized);
correlationWithPCs = coeff .* sqrt(latent)';
disp('Covariance Matrix:');
disp(covMatrix);
disp('Correlation Matrix:');
disp(corrMatrix);
disp('Correlation with Principal Components:');
disp(correlationWithPCs);