R help - Jun 2011 - sdev value returned by princomp function (used for PCA)

Dear all,

I have a question about the 'sdev' value returned by the princomp
function (which does principal components analysis).

On the help page for princomp it says 'sdev' is 'the standard
deviations of the principal components'.

However, when I calculate the principal components for the USArrests data set, I
don't find this to be the case:

Here is how I calculated the principal components and got the 'sdev'
values:
> scaledUSArrests <- scale(USArrests) # standardise the variables to have
variance 1 and mean 0
> myPCA <- princomp(scaledUSArrests)  # do the PCA
> myPCA$sdev
   Comp.1    Comp.2    Comp.3    Comp.4 
1.5590500 0.9848705 0.5911277 0.4122639 

As far as I understand, the principal components themselves are stored in the
'scores' value returned by princomp, so I calculated the standard
deviations of those values to see if they agree with
'sdev':
> sd(myPCA$scores)
   Comp.1    Comp.2    Comp.3    Comp.4 
1.5748783 0.9948694 0.5971291 0.4164494 

I get different values than I got using sd(myPCA$scores) and myPCA$sdev, why is
this?

As there are 4 standardised variables, and the variance of each standardised
variable is 1, I would expect the variances of the principal components to add
to 1. I find that this is true for the variances calculated using
sd(myPCA$scores) but not myPCA$sdev:
> (1.5590500^2) + (0.9848705^2) + (0.5911277^2) + (0.4122639^2)
  3.92
> (1.5748783^2) + (0.9948694^2) + (0.5971291^2) + (0.4164494^2)
  4.00

I am wondering why are the values in 'sdev' not equal to the standard
deviations of the principal components (as stored in 'scores'), and why
is the total variance calculated by summing the squared 'sdev' values
not equal to 4?

Sorry if I have misunderstood something obvious. I would be grateful for help as
I'm a bit confused..

Kind regards,
Avril

Avril Coghlan
Cork, Ireland


	[[alternative HTML version deleted]]

Hi,

What you want is this:
> myPCA.cor <- princomp(scaledUSArrests, cor=TRUE)
> myPCA.cor$sdev
   Comp.1    Comp.2    Comp.3    Comp.4
1.5748783 0.9948694 0.5971291 0.4164494
>
or alternatively
> myPCA2 <- prcomp(scaledUSArrests)
> myPCA2$sdev
[1] 1.5748783 0.9948694 0.5971291 0.4164494

See this message for more detail:

https://stat.ethz.ch/pipermail/r-help/2002-October/025556.html

Sarah

On Thu, Jun 30, 2011 at 3:48 PM, Coghlan, Avril <A.Coghlan at ucc.ie>
wrote:
>
> Dear all,
>
> I have a question about the 'sdev' value returned by the princomp
function (which does principal components analysis).
>
> On the help page for princomp it says 'sdev' is 'the standard
deviations of the principal components'.
>
> However, when I calculate the principal components for the USArrests data
set, I don't find this to be the case:
>
> Here is how I calculated the principal components and got the
'sdev' values:
>> scaledUSArrests <- scale(USArrests) # standardise the variables to
have variance 1 and mean 0
>> myPCA <- princomp(scaledUSArrests) ?# do the PCA
>> myPCA$sdev
> ? Comp.1 ? ?Comp.2 ? ?Comp.3 ? ?Comp.4
> 1.5590500 0.9848705 0.5911277 0.4122639
>
> As far as I understand, the principal components themselves are stored in
the 'scores' value returned by princomp, so I calculated the standard
deviations of those values to see if they agree with 'sdev':
>> sd(myPCA$scores)
> ? Comp.1 ? ?Comp.2 ? ?Comp.3 ? ?Comp.4
> 1.5748783 0.9948694 0.5971291 0.4164494
>
> I get different values than I got using sd(myPCA$scores) and myPCA$sdev,
why is this?
>
> As there are 4 standardised variables, and the variance of each
standardised variable is 1, I would expect the variances of the principal
components to add to 1. I find that this is true for the variances calculated
using sd(myPCA$scores) but not myPCA$sdev:
>> (1.5590500^2) + (0.9848705^2) + (0.5911277^2) + (0.4122639^2)
> ?3.92
>> (1.5748783^2) + (0.9948694^2) + (0.5971291^2) + (0.4164494^2)
> ?4.00
>
> I am wondering why are the values in 'sdev' not equal to the
standard deviations of the principal components (as stored in 'scores'),
and why is the total variance calculated by summing the squared 'sdev'
values not equal to 4?
>
> Sorry if I have misunderstood something obvious. I would be grateful for
help as I'm a bit confused..
>
> Kind regards,
> Avril
>
> Avril Coghlan
> Cork, Ireland
>
-- 
Sarah Goslee
http://www.functionaldiversity.org

On Jun 30, 2011, at 21:48 , Coghlan, Avril wrote:
> 
> Dear all,
> 
> I have a question about the 'sdev' value returned by the princomp
function (which does principal components analysis).
> 
> On the help page for princomp it says 'sdev' is 'the standard
deviations of the principal components'.
> 
> However, when I calculate the principal components for the USArrests data
set, I don't find this to be the case:
> 
> Here is how I calculated the principal components and got the
'sdev' values:
>> scaledUSArrests <- scale(USArrests) # standardise the variables to
have variance 1 and mean 0
>> myPCA <- princomp(scaledUSArrests)  # do the PCA
>> myPCA$sdev
>   Comp.1    Comp.2    Comp.3    Comp.4 
> 1.5590500 0.9848705 0.5911277 0.4122639 
> 
> As far as I understand, the principal components themselves are stored in
the 'scores' value returned by princomp, so I calculated the standard
deviations of those values to see if they agree with 'sdev':
>> sd(myPCA$scores)
>   Comp.1    Comp.2    Comp.3    Comp.4 
> 1.5748783 0.9948694 0.5971291 0.4164494 
> 
> I get different values than I got using sd(myPCA$scores) and myPCA$sdev,
why is this?
> 
> As there are 4 standardised variables, and the variance of each
standardised variable is 1, I would expect the variances of the principal
components to add to 1. I find that this is true for the variances calculated
using sd(myPCA$scores) but not myPCA$sdev:
>> (1.5590500^2) + (0.9848705^2) + (0.5911277^2) + (0.4122639^2)
>  3.92
>> (1.5748783^2) + (0.9948694^2) + (0.5971291^2) + (0.4164494^2)
>  4.00
> 
> I am wondering why are the values in 'sdev' not equal to the
standard deviations of the principal components (as stored in 'scores'),
and why is the total variance calculated by summing the squared 'sdev'
values not equal to 4?
> 
> Sorry if I have misunderstood something obvious. I would be grateful for
help as I'm a bit confused..
Rather, you overlooked something not-quite obvious:

"Note that the default calculation uses divisor N for the covariance
matrix."

You'll have to ask the authors for why this convention has been used, but it
is of course easy to convert to N-1 divisor once you know what is happening
(typically you don't really care about scaling anyway).

When your data have been scaled with their sd, using N-1 for divisor, the
variance using N as divisor will be (1 - 1/N) and true enough:

4 * (1 - 1/50) = 3.92
> 
> Kind regards,
> Avril
> 
> Avril Coghlan
> Cork, Ireland
> 
> 
> 	[[alternative HTML version deleted]]
> 
> ______________________________________________
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-- 
Peter Dalgaard
Center for Statistics, Copenhagen Business School
Solbjerg Plads 3, 2000 Frederiksberg, Denmark
Phone: (+45)38153501
Email: pd.mes at cbs.dk  Priv: PDalgd at gmail.com