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> The downside to this circumvention is that you have essentially re-weighted each of your variables, so the weight contributed by each variable is more similar
by radarsat1 14y ago
> The downside to this circumvention is that you have essentially re-weighted each of your variables, so the weight contributed by each variable is more similar.
Is this similar to "whitening"?
- christopheraden 14y agoIt is somewhat similar. The procedure I describe is normalizing (using z-scores instead of raw data) the data. The difference, as far as I can tell, is that normalizing retains the correlation structure of the data, while whitening uncorrelates the observations. R is the lingua franca of the academic statisticians, so you might not derive a huge amount of value from this, but this question was asked a couple years ago on Stats.SE: http://stats.stackexchange.com/questions/53/pca-on-correlation-or-covariance http://stats.stackexchange.com/questions/53/pca-on-correlati...