At 21:16 07/02/2003 -0600, Feng Zhang wrote:
I used Matlab to do this case study.
>x = randn(200,3); %%generating a 200x3 Gaussian matrix
>[a,b,c]=svd(x); %%SVD composition
>S=diag(b)
S =[15.6765 14.8674 13.4016]'
>S(1)^2/sum(S.^2);
0.3802
>ZeroedX = X - repmat(mean(X),200,1); %%ZeroedX is now zero centered data
>C = cov(ZeroedX); %%Covariance matrix of ZeroedX
>[U,L] = eig(C); %% Eigen decompostion of C
> SE = diag(L);
[0.8918 1.1098 1.2337]'
>SE(1)/sum(SE)
0.3813
This is the case that I was confused by.
Fred
You must also apply svd on your centred table X (i.e. ZeroeX)
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