天软金融分析.NET函数大全 > TSL函数 > 数学函数 > 多元统计分析

princomp    

简述
主成分分析，isStand为0时从中心化协方差出发进行主成分分析，为1时从相关系数出发，进行主成分分析；
定义
princomp (x:Array of Real;ep:Real;isStand:bool;resid:array):array;
参数
名称类型说明
xArray of Real样本数据，二维数字数组;
epReal累计方差贡献度阈值，实数，缺省时默认为0.85;
当ep为整数，则返回前ep项累计方差贡献度阈值。
isStandbool是否标准化，布尔类型，缺省时为真；
residarray残差，变参输出，二维数字数组；
返回结果:
ret["特征值",0]:协方差矩阵的特征值信息
ret["特征向量",0]:特征值对应的特征向量
ret['累计贡献率',0]:累计贡献率
ret["主成分",0]:主成分
ret["主成分载荷",0]:主成分载荷
  • 范例

    data := array(
    (947.00,23.4,14.8,45.3,0.46,85.2,373.00,9.54,0.37,3.88),
    (935.00,23.2,16.2,41.7,0.4,83.3,305.00,7.9,0.38,4.81),
    (918.2,20.9,14.8,43.8,0.38,82.6,320.00,9.51,0.43,4.52),
    (910.7,23.4,16.1,44.00,0.46,85.2,338.00,8.6,0.33,3.84),
    (905.00,22.9,17.00,39.8,0.45,80.4,348.00,9.53,0.42,4.4),
    (890.6,22.3,15.7,44.00,0.41,85.4,286.00,8.67,0.39,4.5),
    (853.4,20.9,15.9,41.6,0.35,85.4,273.00,9.79,0.42,4.29),
    (837.3,20.2,14.4,37.3,0.33,82.5,326.00,7.62,0.36,4.73),
    (833.3,22.2,15.2,38.3,0.37,82.2,310.00,7.84,0.4,5.1),
    (760.9,20.4,15.5,40.7,0.32,84.2,268.00,7.75,0.35,4.52),
    (760.3,20.8,15.1,44.8,0.35,79.5,273.00,8.91,0.45,5.05),
    (742.5,23.4,14.7,43.1,0.35,79.5,310.00,9.13,0.4,4.36));
    return princomp(data,0.85,1,resid);

    结果：
    参考
    Factor 
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