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I have always been confused about how to properly interpret PCA results.

My data looks like this and it's a big table with more than 5 million rows and 12 columns.(the first few lines are all 0...) Each column is for an individual which has more than 5 million observations (numbers).

> head(data)
       YC1CO YC1LI YC4CO YC4LI YC5CO YC5LI YM1CO YM1LI YM3CO YM3LI
f1     0     0     0     0     0     0     0     0     0     0
f2     0     0     0     0     0     0     0     0     0     0
f3     0     0     0     0     0     0     0     0     0     0
f4     0     0     0     0     0     0     0     0     0     0
f5     0     0     0     0     0     0     0     0     0     0
f6     0     0     0     0     0     0     0     0     0     0

Then I run PCA using prcomp in R:

pca<-prcomp(data,scale=T,center=T)

The outputs are:

pca$rotation:

> pca$rotation
        PC1        PC2          PC3         PC4         PC5         PC6
YC1CO 0.2888377 -0.1511474  0.354970405 -0.14922899  0.29263063 -0.42756650
YC1LI 0.2887845  0.2891378  0.006931811 -0.11867753  0.10465221  0.32239652
YC4CO 0.2888937 -0.1073097  0.376083559 -0.16145206  0.28844683 -0.19929480
YC4LI 0.2888576  0.2899107  0.032538093 -0.10721970  0.11537841  0.19513249
YC5CO 0.2885639 -0.2200563  0.393267987 -0.13833481 -0.80160742  0.20303762
YC5LI 0.2887792  0.2926729  0.010423117 -0.11994739  0.12149153  0.31232174
YM1CO 0.2889243 -0.2483682  0.100978896  0.12858598  0.04456687 -0.19313330
YM1LI 0.2891586  0.2571790 -0.112257791  0.05154060 -0.01859997 -0.02233253
YM3CO 0.2872954 -0.5242998 -0.631712144 -0.47494155  0.05150495  0.08749259
YM3LI 0.2891991  0.2441790 -0.131464167  0.06272038 -0.03712138 -0.03534204
YM5CO 0.2881663 -0.3741525 -0.033566125  0.75538412  0.17427960  0.33801997
YM5LI 0.2886363  0.2481463 -0.369342316  0.27066649 -0.33590255 -0.57941556
        PC7           PC8         PC9        PC10        PC11
YC1CO  0.658953472 -0.0032299313  0.19565297  0.02889161  0.06028938
YC1LI  0.075935158  0.7256745487  0.10496762 -0.36161999 -0.17252148
YC4CO -0.733333390  0.0315817680  0.26028561  0.06764965  0.05879949
YC4LI  0.050613636 -0.0400665068 -0.25306478  0.74445447 -0.38210226
YC5CO  0.040387219 -0.0106509021  0.07336791  0.04776528  0.03597253
YC5LI  0.040072049 -0.6856737279  0.16012889 -0.41945134 -0.17527656
YM1CO -0.085165645 -0.0130678334 -0.78767928 -0.33407254 -0.22202704
YM1LI -0.004723194 -0.0087215382 -0.16061437  0.06378812  0.58204927
YM3CO -0.003226445 -0.0019793258  0.06649693  0.05308833  0.01803736
YM3LI -0.006287346 -0.0087025271 -0.14028837  0.03396984  0.52810233
YM5CO  0.048983778  0.0009123461  0.21714944  0.10450049  0.01040703
YM5LI -0.081931860  0.0139306658  0.26532068 -0.02864126 -0.34310790
              PC12
YC1CO -0.005335094
YC1LI  0.007632148
YC4CO -0.006459107
YC4LI -0.012083181
YC5CO  0.002861339
YC5LI  0.009554891
YM1CO  0.007425773
YM1LI  0.682200634
YM3CO  0.007334849
YM3LI -0.730105933
YM5CO  0.004956218
YM5LI  0.032252049

summary(pca)

> summary(pca)
Importance of components:
                          PC1     PC2     PC3     PC4     PC5     PC6     PC7
Standard deviation     3.4418 0.20675 0.13369 0.11872 0.11105 0.10690 0.10325
Proportion of Variance 0.9872 0.00356 0.00149 0.00117 0.00103 0.00095 0.00089
Cumulative Proportion  0.9872 0.99072 0.99221 0.99338 0.99441 0.99536 0.99625
                          PC8     PC9    PC10    PC11    PC12
Standard deviation     0.10054 0.09888 0.09789 0.09215 0.08375
Proportion of Variance 0.00084 0.00081 0.00080 0.00071 0.00058
Cumulative Proportion  0.99709 0.99791 0.99871 0.99942 1.00000

The eigenvalues are:

> pca$sdev^2
 [1] 11.845894818  0.042746822  0.017872795  0.014093498  0.012331364
 [6]  0.011428471  0.010660422  0.010107398  0.009777983  0.009582267
[11]  0.008490902  0.007013259

I just took the values from pca$rotation above for PC1 and PC2 and plot it.

enter image description here

And the biplot

>biplot(pca)

enter image description here

I have a few specific questions and I would really appreciate it if you can comment to help me understand the plot.

  1. Based on the proportion of variance, I know PC1 explains almost all the variance. I have one question here, does the x axis and y axis values matter at all here? PC1 values are much more closer than those of PC2 values although PC1 is the dominant PC.

  2. Can I see the difference among points YC1CO, YC4CO, YC5CO and YM1CO, YM3CO, YM5CO are what drives PC1?

  3. The initial thought was to show relationships among the 12 individuals (YC1CO, etc) and see if they cluster/separate from each other and if there is some meaningful patterns. That's why I want to plot PC1 and PC2 to show the relative location of 12 individuals. Now I'm confused about how to plot it..

Thanks!

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  • $\begingroup$ The graph looks like the loading plot which is showing variables in the space of PCs. The coordinates are loadings. If that is true, check that sum of the squared coordinates onto a PCs must be the variance (squared st. dev.) of that PC. $\endgroup$ – ttnphns Jun 10 '14 at 7:06
  • $\begingroup$ If the coordinates are eigenvectors then their sum of squares for each PC is 1. Read about what are eigenvectors and loadings. $\endgroup$ – ttnphns Jun 10 '14 at 7:09
  • $\begingroup$ @ttnphns, I have calculated the sum of the squared coordinates of the 6 points and it's about 1. So I think the coordinates are eigenvectors $\endgroup$ – user2157668 Jun 11 '14 at 19:58
  • $\begingroup$ @ttnphns if the coordinates are eigenvectors, are the values on the axises eigenvalues? $\endgroup$ – user2157668 Jun 12 '14 at 14:26
  • $\begingroup$ @ttnphns i think the plot is wrong.. the eigenvalues are pca\$sdev^2 which is the square of (3.4418, 0.20675, 0.13369 ...) and I think somehow the values on the axises are not the projection of each individual onto eigenvectors, which is what I want... they are from pca$rotation in prcomp package in R and they are loadings? but the sum of the squared coordinates is 1.. they seem contradictory... $\endgroup$ – user2157668 Jun 12 '14 at 14:37
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The confusion has already been clarified in the comments above, but I would like to provide an answer so that this thread can be closed.

R's function prcomp() takes as an input a data matrix with variables in columns. In your example you have variables in rows, which results in center=T argument not working correctly (it centers columns, not rows) and renders PCA invalid. The solution is to transpose the data matrix.

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Before your two numbered questions can be addressed: Somehow PC1 has a standard deviation listed as 3.4, but all the values are shown as lying between .287 and .290. There must be an error somewhere; this combination of results is not possible. Perhaps you have graphed only of few of many points used in the PCA?

EDIT: I say "not possible" because a standard deviation (here, 3.4) can be no greater than the variable's range (here, .003). And at an intuitive level the SD represents, informally, something like a "typical" deviation from the mean, whereas typical in this graph would be about .0005.

You asked about eigenvalues: they summarize entire variables, whereas what's plotted on your graph are scores for individual points.

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  • $\begingroup$ ok, i got what you meant, why is the combination of results not possible..? what are the values of x axis and y axis? are they eigenvalues? $\endgroup$ – user2157668 Jun 9 '14 at 20:57
  • $\begingroup$ stackoverflow.com/questions/19993980/… this example have similar small rotation values but ~2 standard deviation. $\endgroup$ – user2157668 Jun 9 '14 at 21:04
  • $\begingroup$ Since you referred to YC1CO, etc. as "points" I believed that they were observations/cases/individuals. Are they actually variables? In that case maybe what you've plotted is a set of variables' loadings on the components. $\endgroup$ – rolando2 Jun 9 '14 at 21:13
  • $\begingroup$ ...But even then it's hard to imagine how all variables could have PC1 loadings within such a tiny range. $\endgroup$ – rolando2 Jun 9 '14 at 21:24
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    $\begingroup$ @user2157668: Can you please explain what you mean by "YC1CO etc are individuals and each has many observations (millions)"? Millions of observations -- are these data points or features? What is the original dimensionality of the dataset? How many data points are there in the dataset? If each individual contributes multiple data points, then how do you project individuals on the PC1-PC2 plane? $\endgroup$ – amoeba Jun 11 '14 at 14:43
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I fully agree with what @rolando2 wrote, but let me add a bit to the discussion addressing the questions you posed.

Based on the proportion of variance, I know PC1 explains almost all the variance. I have one question here, does the x axis and y axis values matter at all here? PC1 values are much more closer than those of PC2 values although PC1 is the dominant PC.

It is not completely clear what you mean by matter, but yes, they do play a role. Once the your data is projected onto the PC, these are the new representations of the original data. But it is always tricky to compare in a two-dimensional way along two vectors with such a different standard deviation associated as PC1/PC2. Note that the PC are normalized by their own standard deviation, so a plot on the PC space will not reveal much of the original variation, in case that's what you're looking for.

Can I see the difference among points YC1CO, YC4CO, YC5CO and YM1CO, YM3CO, YM5CO are what drives PC1?

I think it is more correct to say that the difference between these points along the axis that defines PC1 are what let to the creation of PC1 as the most representative vector of the variance.

Hope this helps.

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  • $\begingroup$ thanks. i was wondering the meaning of those axis values and whether bigger means higher variance... so in my plot, x axis values are much smaller than y axis although x axis is the first principle component $\endgroup$ – user2157668 Jun 11 '14 at 20:14
  • $\begingroup$ Indeed, bit to understand this one has to remove the normalization effect knowing the variance along the PC's. $\endgroup$ – pedrofigueira Jun 12 '14 at 0:15
  • $\begingroup$ @pedrofigueira: The variance of the e.g. PC1 projection according to the OP figure is definitely << 1, so I don't think it was normalized. $\endgroup$ – amoeba Jun 12 '14 at 9:45

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