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I have 22 variables with more than 6000 observations. They are highly correlated. I know these data would work as great explanatory variables to a dichotomous event (present absent). Therefore, I intend to combine them via binary logistic regression and, so to avoid multicolinearity, I thought of "orthogonalizing" the original data using PCA. Then I could choose the main modes of variability (or even all the PC's) and use them as the explanatory variables in my regression, once PCs are orthogonal and independent, by definition.

I am running this in MATLAB with function pca. The variables are nearly normally distributed and are first normalized between 0 +/- 2 standard deviations (around zero because it will be interesting to keep their signal for future analysis, I believe). I also chose not to center the data within the MATLAB function, once they're already normalized.

Now here comes the pitfall. My first 2 PCs (scores) are correlated with r=0.7891! Any hints on this? Any suggestions on mistakes I may be making?

scatter plot Pc1 and Pc2

EDIT: In case it lightens th scenario, here is a biplot. Letting PCA center the data, I believe the cloud would be just displaced to around the origin, but still keeping its format / correlation, correct?

enter image description here

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    $\begingroup$ Hint: Center your data. $\endgroup$ – whuber Feb 20 '17 at 16:05
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    $\begingroup$ Orthogonality and correlation are different things unless the vectors are centered. $\endgroup$ – whuber Feb 20 '17 at 19:18
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    $\begingroup$ ddavid, In your PCA analysis, you should have kept consistent. If you do usual, consensual PCA, you center the data first (i.e. do the analysis based on covariances). Principal directions are extracted and PC scores are computed with that centered data. Correlations (or covariances) between the PCs will be zero. But if you do PCA on raw, uncentered data (i.e. based on SSCP matrix) you should logically use raw data to compute PC scores... $\endgroup$ – ttnphns Apr 24 '17 at 4:05
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    $\begingroup$ (cont.) Such scores will also have zero associations among themselves; but these implied associations are not correlations but sscp crossproducts (or cosine similarities). Thus, PCA violated nothing. It supported "orthogonality" in both cases. The thing is in this: what is to be the proper association implied as orthogonalized: correlation or what? With raw data, it is not correlation. $\endgroup$ – ttnphns Apr 24 '17 at 4:05
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    $\begingroup$ Please see question stats.stackexchange.com/q/73319/3277 which is similar in the issue raised. And general Q stats.stackexchange.com/q/22329/3277. $\endgroup$ – ttnphns Apr 24 '17 at 4:25
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Remember how PCA works: It starts by finding the single dimension (direction) of greatest variation in your dataset. That becomes PC1. Then it finds the direction of greatest variation that is at right angles to that. It becomes PC2. Etc.

The important thing to recognize is that if your data aren't centered, the direction of greatest variation might well be from the origin of the space (e.g., $(0, 0)$ in a Cartesian plane) to the centroid (mean vector) of your data. Every subsequent principal component is constrained by that first one: They all have to be at right angles to it. That means that the resulting PCs may not uncorrelate your data.

Here is a quick illustration (written in R):

library(MASS)   # we'll use this package
set.seed(7668)  # this makes the example exactly reproducible
X = mvrnorm(100, mu=c(-5, 0), Sigma=rbind(c(1,  1.6),   # here I generate data
                                          c(1.6,  4) ))

windows(height=4, width=7)
  layout(matrix(1:2, nrow=1))

  plot(X[,1], X[,2], xlim=c(-8, 1))
  abline(h=0, col="gray");  abline(v=0, col="gray")
  points(mean(X[,1]), 0, pch="*", cex=2, col="red")

  biplot(prcomp(X, center=FALSE))

enter image description here

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