- class statsmodels.multivariate.pca.PCA(data, ncomp=None, standardize=True, demean=True, normalize=True, gls=False, weights=None, method='svd', missing=None, tol=5e-08, max_iter=1000, tol_em=5e-08, max_em_iter=100, svd_full_matrices=False)¶
Principal Component Analysis
Variables in columns, observations in rows.
Number of components to return. If None, returns the as many as the smaller of the number of rows or columns in data.
Flag indicating to use standardized data with mean 0 and unit variance. standardized being True implies demean. Using standardized data is equivalent to computing principal components from the correlation matrix of data.
Flag indicating whether to demean data before computing principal components. demean is ignored if standardize is True. Demeaning data but not standardizing is equivalent to computing principal components from the covariance matrix of data.
- normalizebool ,
Indicates whether to normalize the factors to have unit inner product. If False, the loadings will have unit inner product.
Flag indicating to implement a two-step GLS estimator where in the first step principal components are used to estimate residuals, and then the inverse residual variance is used as a set of weights to estimate the final principal components. Setting gls to True requires ncomp to be less then the min of the number of rows or columns.
Series weights to use after transforming data according to standardize or demean when computing the principal components.
Sets the linear algebra routine used to compute eigenvectors:
‘svd’ uses a singular value decomposition (default).
‘eig’ uses an eigenvalue decomposition of a quadratic form
‘nipals’ uses the NIPALS algorithm and can be faster than SVD when ncomp is small and nvars is large. See notes about additional changes when using NIPALS.
Method for missing data. Choices are:
‘drop-row’ - drop rows with missing values.
‘drop-col’ - drop columns with missing values.
‘drop-min’ - drop either rows or columns, choosing by data retention.
‘fill-em’ - use EM algorithm to fill missing value. ncomp should be set to the number of factors required.
None raises if data contains NaN values.
Tolerance to use when checking for convergence when using NIPALS.
Maximum iterations when using NIPALS.
Tolerance to use when checking for convergence of the EM algorithm.
Maximum iterations for the EM algorithm.
If the ‘svd’ method is selected, this flag is used to set the parameter ‘full_matrices’ in the singular value decomposition method. Is set to False by default.
The default options perform principal component analysis on the demeaned, unit variance version of data. Setting standardize to False will instead only demean, and setting both standardized and demean to False will not alter the data.
Once the data have been transformed, the following relationships hold when the number of components (ncomp) is the same as tne minimum of the number of observation or the number of variables.
where X is the data, F is the array of principal components (factors or scores), and V is the array of eigenvectors (loadings) and V’ is the array of factor coefficients (coeff).
When weights are provided, the principal components are computed from the modified data
where \(\Omega\) is a diagonal matrix composed of the weights. For example, when using the GLS version of PCA, the elements of \(\Omega\) will be the inverse of the variances of the residuals from
where the number of factors is less than the rank of X
J. Bai and S. Ng, “Determining the number of factors in approximate factor models,” Econometrica, vol. 70, number 1, pp. 191-221, 2002
Basic PCA using the correlation matrix of the data
>>> import numpy as np >>> from statsmodels.multivariate.pca import PCA >>> x = np.random.randn(100)[:, None] >>> x = x + np.random.randn(100, 100) >>> pc = PCA(x)
Note that the principal components are computed using a SVD and so the correlation matrix is never constructed, unless method=’eig’.
PCA using the covariance matrix of the data
>>> pc = PCA(x, standardize=False)
Limiting the number of factors returned to 1 computed using NIPALS
>>> pc = PCA(x, ncomp=1, method='nipals') >>> pc.factors.shape (100, 1)
nobs by ncomp array of principal components (scores)
nobs by ncomp array of principal components - identical to factors
ncomp by nvar array of principal component loadings for constructing the factors
nvar by ncomp array of principal component loadings for constructing the projections
nobs by var array containing the projection of the data onto the ncomp estimated factors
ncomp array where the element in the ith position is the R-square of including the fist i principal components. Note: values are calculated on the transformed data, not the original data
ncomp by 3 array containing the Bai and Ng (2003) Information criteria. Each column is a different criteria, and each row represents the number of included factors.
nvar array of eigenvalues
nvar by nvar array of eigenvectors
nvar array of weights used to compute the principal components, normalized to unit length
Standardized, demeaned and weighted data used to compute principal components and related quantities
Array of indices indicating columns used in the PCA
Array of indices indicating rows used in the PCA
Box plots of the individual series R-square against the number of PCs.
plot_scree([ncomp, log_scale, cumulative, ax])
Plot of the ordered eigenvalues
project([ncomp, transform, unweight])
Project series onto a specific number of factors.