help needed with fraction of unexplained variance
2 views (last 30 days)
Show older comments
Hello,
I have a data set that has 100000 observations and 200 variables. I have used PCA and luckily only 5 dimensions capture ~95% of the variance. I got this quantity from the eigenvalues of the covariance matrix.
Just to check that everything makes sense I have also calculated the fraction of unexplained variance as defined here: http://en.wikipedia.org/wiki/Fraction_of_variance_unexplained
To my surprise I got results that are inconsistent with the what I obtained from the eigenvalues of the covariance matrix. My question is how the two quantity relates to each other? I want to test some other dimension reducing techniques on the data as well and would be interested in making an apple-to-apple comparison among them in terms of the percentage of the original data retained.
Any help would be very much appreciated!
Best regards, Blaise
0 Comments
Answers (0)
See Also
Categories
Find more on Dimensionality Reduction and Feature Extraction in Help Center and File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!