How to quantify variance explained from PCA?
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Hi,
I want to quantify the amount of variance explained by PCA. However, I want to define the PCs using one half of my data, and test it using the other half as follows:
[COEFF,SCORE,latent,tsquare] = princomp(InputMatrix_TrainingData); %InputMatrix is an 8 x 78 matrix. RecomputedScores = InputMatrix_TestData*COEFF; %Output
This works fine for recomputing the scores based upon alternate data, but how do I recompute the amount of variance explained etc. ?
Thanks
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