# Introduction to Principal Components and FactorAnalysis

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1 Introduction to Principal Components and FactorAnalysis

2 Multivariate Analysis often starts out with data involving a substantial number of correlated variables. Principal Component Analysis (PCA) is a dimension-reduction tool that can be used to reduce a large set of variables to a small set that still contains most of the information in the large set.

3 Principal component analysis (PCA) is a mathematical procedure that transforms a number of (possibly) correlated variables into a (smaller) number of uncorrelated variables called principal components. The first principal component accounts for as much of the variability in the data as possible, and each succeeding component accounts for as much of the remaining variability as possible. Principal components analysis is similar to another multivariate procedure called Factor Analysis. They are often confused and many scientists do not understand the difference between the two methods or what types of analyses they are each best suited.

4 Traditionally, principal component analysis is performed on a square symmetric matrix. It can be a SSCP matrix (pure sums of squares and cross products), Covariance matrix (scaled sums of squares and cross products), or Correlation matrix (sums of squares and cross products from standardized data). The analysis results for objects of type SSCP and Covariance do not differ, since these objects only differ in a global scaling factor. A correlation matrix is used if the variances of individual variates differ much, or if the units of measurement of the individual variates differ.

5 Geometry of Principal Components Campbell and Atchley

6 Objectives of principal component analysis PCA reduces attribute space from a larger number of variables to a smaller number of factors and as such is a "non-dependent" procedure (that is, it does not assume a dependent variable is specified). PCA is a dimensionality reduction or data compression method. The goal is dimension reduction and there is no guarantee that the dimensions are interpretable (a fact often not appreciated by (amateur) statisticians). To select a subset of variables from a larger set, based on which original variables have the highest correlations with the principal component.

7 Factor Analysis & Principal Components Definitions for Beginners Principal component analysis: Factor model in which the factors are based on summarizing the total variance. With PCA, unities are used in the diagonal of the correlation matrix computationally implying that all the variance is common or shared. Algorithm lacking underlying model. Common factor analysis: Factor model explores a reduced correlation matrix. That is, communalities (r 2 ) are inserted on the diagonal of the correlation matrix, and the extracted factors are based only on the common variance, with specific and error variances excluded. Explores underlying latent structure of data. Model assumes variability partitionable into common and unique components Common variance: Variance shared with other variables in the factor analysis. Specific or unique variance: Variance of each variable unique to that variable and not explained or associated with other variables in the factor analysis. Communality: Total amount of variance an original variable shares with all other variables included in the analysis. Eigenvalue: Column sum of squared loadings for a factor, i.e., the latent root. It conceptually represents that amount of variance accounted for by a factor.

8 FAfB continued - 2 Sphericity test: Statistical test for the overall significance of all correlations within a correlation matrix Factor: Linear combination (variate) of the original variables. Factors also represent the underlying dimensions (constructs) that summarize or account for the original set of observed variables. Factor loadings: Correlation between the original variables and the factors, and the key to understanding the underlying nature of a particular factor. Squared factor loadings indicate what percentage of the variance in an original variable is explained by a factor. Factor matrix: Table displaying the factor loadings of all variables on each factor. Factor score: Composite measure created for each observation on each factor extracted in the factor analysis. The factor weights are used in conjunction with the original variable values to calculate each observation's score. The factor scores are standardized to reflect a z-score. Factor scores place each variable in a plane of multivariate variability.

9 Principal components analysis (PCA): PCA seeks a linear combination of variables such that the maximum variance is extracted from the variables. It then removes this variance and seeks a second linear combination which explains the maximum proportion of the remaining variance, and so on. This is called the principal axis method and results in orthogonal (uncorrelated) factors. PCA analyzes total (common and unique) variance. Eigenvectors: Principal components (from PCA - principal components analysis) reflect both common and unique variance of the variables and may be seen as a variance-focused approach seeking to reproduce both the total variable variance with all components and to reproduce the correlations. PCA is far more common than PFA, however, and it is common to use "factors" interchangeably with "components." The principal components are linear combinations of the original variables weighted by their contribution to explaining the variance in a particular orthogonal dimension

10 Eigenvalues: Also called characteristic roots. The eigenvalue for a given factor measures the variance in all the variables which is accounted for by that factor. The ratio of eigenvalues is the ratio of explanatory importance of the factors with respect to the variables. If a factor has a low eigenvalue, then it is contributing little to the explanation of variances in the variables and may be ignored as redundant with more important factors. Eigenvalues measure the amount of variation in the total sample accounted for by each factor. A factor's eigenvalue may be computed as the sum of its squared factor loadings for all the variables. Note that the eigenvalues associated with the unrotated and rotated solution will differ, though their total will be the same.

12 PC scores: Also called component scores in PCA, these scores are the scores of each case (row) on each factor (column). To compute the factor score for a given case for a given factor, one takes the case's standardized score on each variable, multiplies by the corresponding factor loading of the variable for the given factor, and sums these products.

13 Eigenvalues of the Covariance Matrix Eigenvalue Difference Proportion Cumulative

14 Portion of PCA Analysis of 54 Amino Acid Physio-Chemical Attributes Variable PCA1 PCA2 PCA3 PCA4 MDS MDS MDS MDS MDS MDS MDS MDS MDS MDS MDS MDS MDS MDS PCA Coefficient

15 Introduction to Factor Analysis

16 Factor analysis is a statistical procedure to identify interrelationships that exist among a large number of variables, i.e., to identify how suites of variables are related. Factor analysis can be used for exploratory or confirmatory purposes. As an exploratory procedure, factor analysis is used to search for a possible underlying structure in the variables. In confirmatory research, the researcher evaluates how similar the actual structure of the data, as indicated by factor analysis, is to the expected structure. The major difference between exploratory and confirmatory factor analysis is that researcher has formulated hypotheses about the underlying structure of the variables when using factor analysis for confirmatory purposes. As an exploratory tool, factor analysis doesn't have many statistical assumptions. The only real assumption is presence of relatedness between the variables as represented by the correlation coefficient. If there are no correlations, then there is no underlying structure.

17 Steps in conducting a factor analysis There are five basic factor analysis steps: data collection and generation of the correlation matrix partition of variance into common and unique components (unique may include random error variability) extraction of initial factor solution rotation and interpretation construction of scales or factor scores to use in further analyses

18 Factor Analysis & Principal Components Definitions for Beginners Principal component analysis: Factor model in which the factors are based on the total variance. With PCA, unities are used in the diagonal of the correlation matrix computationally implying that all the variance is common or shared. Common factor analysis: Factor model explores a reduced correlation matrix. That is, communalities (r 2 ) are inserted on the diagonal of the correlation matrix, and the extracted factors are based only on the common variance, with specific and error variances excluded. Common variance: Variance shared with other variables in the factor analysis. Specific or unique variance: Variance of each variable unique to that variable and not explained or associated with other variables in the factor analysis. Communality: Total amount of variance an original variable shares with all other variables included in the analysis. Eigenvalue: Column sum of squared loadings for a factor; = the latent root. It conceptually represents that amount of variance accounted for by a factor.

19 FFB continued - 2 Sphericity test: Statistical test for the overall significance of all correlations within a correlation matrix Factor: Linear combination (variate) of the original variables. Factors also represent the underlying dimensions (constructs) that summarize or account for the original set of observed variables. Factor loadings: Correlation between the original variables and the factors, and the key to understanding the nature of a particular factor. Squared factor loadings indicate what percentage of the variance in an original variable is explained by a factor. Factor matrix: Table displaying the factor loadings of all variables on each factor. Factor score: Composite measure created for each observation on each factor extracted in the factor analysis. The factor weights are used in conjunction with the original variable values to calculate each observation's score. The factor scores are standardized to according to a z-score.

20 FFB continued - 3 Factor rotation: Process of manipulation or adjusting the factor axes to achieve a simpler and pragmatically more meaningful factor solution. Oblique factor rotation: Factor rotation computed so that the extracted factors are correlated. Rather than arbitrarily constraining the factor rotation to an orthogonal (90 degree angle) solution, the oblique solution identifies the extent to which each of the factors are correlated. Orthogonal factor rotation: Factor rotation in which the factors are extracted so that their axes are maintained at 90 degrees. Each factor is independent of, or orthogonal to, all other factors. The correlation between teh factors is determined to be zero. VARIMAX: One of the most popular orthogonal factor rotation methods.

21 Factor Rotation Unrotated Axes Each variable lies somewhere in the plane formed by these two factors. The factor loadings, which represent the correlation between the factor and the variable, can also be thought of as the variable's coordinates on this plane. In unrotated factor solution the Factor "axes" may not line up very well with the pattern of variables and the loadings may show no clear pattern. Factor axes can be rotated to more closely correspond to the variables and therefore become more meaningful. Relative relationships between variables are preserved. The rotation can be either orthogonal or oblique Rotated Axes

22 Rotation of Factors to Simple Structure Variable Factor 1 Factor Variable Factor 1 Factor Factors subjected to Varimax orthogonal rotation to simple structure. Simple structure attempts to clarify the relationships among variables by producing factors with either very high or very low coefficients and variables with high coefficients on only one variable. Rotation to simple structure generally simplifies the relationships among the variables and clarifies the interpretation of the factors.

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28 Summary of Factor (not PCA) Analyses Correlation Matrix Amino acid attributes c 1 r 12 c 2 r 13 r 23 c 3 r 1n r 2n r 3n c n Factor matrix λ I λ II λ III Ala X 1 I X 1 II X 1 III Arg X 2 I X 2 II X 2 III Asn X 3 I X 3 II X 3 III Val X ni X n II X n III Transform sequences C-MYC ALRDQIPELE L-MYC ALRDQVPTLA N-MYC TLRDHVPELV Factor scores Ala Arg Asn Decompose variances and covariances 2. Manova and discriminant analysis 3. Model amino acid and protein behaviors

29 Portion of factor pattern matrix of 54 amino acid attributes. Amino Acid Attributes F1 F2 F3 F4 F5 Comm Average non-bonded energy per atom Percentage of exposed residues Average accessible surface area Residue accessible surface area Number of hydrogen bond donors Polarity Hydrophilicity value Polar requirement Long range non-bonded energy Negative charge Positive charge Size Normalized relative frequency of bend Normalized frequency of beta-turn Molecular weight Relative mutability Normalized frequency of coil Average volume of buried residue Conformational parameter of beta-turn Residue volume Isoelectric point Propensity to form reverse turn Chou-Fasman coil conformation Factors describe latent structure of amino acid attributes

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