I am trying to better understand PCA as applied to time series by drawing parallels with this explanation of PCA as applied to images of faces. In particular, I would like to visualize the resulting "eigen-time series" in the case of PCA for time series in the same way that the explanation is able to visualize the eigenfaces.
My understanding of the image data is that each image is an array of (positive) integers. Performing PCA on the series of images requires transforming each 64x64 image into a 1x4096 row vector, where each of the 4096 columns corresponds to a specific pixel location. The resulting 4096 principal components are the eigenvectors, and depending on the number of principal components selected (say n_comp
), some linear combination of the n_comp
eigenvectors can be used to reconstruct the original face image (to some degree of accuracy).
Visualizing the original image involves mapping each integer in the 64x4 matrix to a gray scale color. As far as I can tell, although the eigenvectors are real numbers which are not necessarily positive, we are still able to visualize each of the n_comp "eigenfaces" by reshaping the 1x4096 vector into a 64x64 matrix, and mapping each real number in the 64x64 matrix to a gray scale color, because the ends of the color map are mapped to the minimum and maximum values in the 64x64 matrix.
Now suppose I have 250 time series each of length 96, and each time series is measuring the same thing just on 250 different days. Each column corresponds to the time series value at a specific time of day (e.g., the measurement taken at 1:15pm). After applying PCA, suppose that I find that the first 9 principal component explain 90% of the variance. Each principal component (eigenvector) is a 1x96 vector, and I would like to also visualize the principal component (eigenvector, "eigen-time series") in the same way that the eigenfaces were visualized. However, in my case the units of the vector do matter because the time series was measured in g/dL but the values of the principal component (as far as I can tell) have no units. Is there a way to transform the unitless principal component/eigenvector into an eigen-time series that does have the units of the original time series?