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How to get the number of significant Eigen Value?

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Tanya
Tanya on 17 Feb 2014
Im working in Matlab to compute the PCA. I already compute the Eigen Value and the Eigen Vector.
I used this matlab function :
[Eigen Vector, Eigen Value]=eigs(Matrix,k);
With this eigs function, we will get ordered Eigen Value (from big to small).
In this case, Im going to determine the k (which is the number of Eigen Value I want to keep).
And I need to compute k with this formula :
Σ(from 1 to p) of eigen value
------------------------------------------------------- * 100 = our persentage
Σ(from 1 to col of eigen value matrix) of eigen value
where k=p
And to reduce the dimension of input matrix, I just have to :
(Eigen Vector*Eigen Value*Eigen Vector')
Someone know if there is matlab function to get the k number based on the persentage I want ??

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