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From |
"Verkuilen, Jay" <JVerkuilen@gc.cuny.edu> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: Rescale using covariance matrix for weighted PCA? |

Date |
Wed, 21 May 2008 18:32:18 -0400 |

J Jones: >>"Factor analysis method uses the correlation structure of the variables or the covariance structure <epsilon>. In using the covariance matrix we can manually rescale variables (XI_i) by dividing with their respective standard deviations (sigma_i)." How the heck do they use the covariance matrix to scale the variable?!<< Well I'm not entirely sure what the text is saying but you can compute a correlation matrix from a covariance matrix as follows: Let C be the covariance matrix and D = diag(C)^-1/2. Then R = DCD. The method for linear transformations of variables works more generally. If you have a covariance matrix C and want to rescale the original varibles, replace D with the scaling factors you want. This will be explained in a standard multivariate statistics text or matrix book e.g., Tools for Applied Multivariate Analysis by Paul Green and J. Douglas Carroll. Jay * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**Re: st: Rescale using covariance matrix for weighted PCA?***From:*"J Jones" <statafan@googlemail.com>

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