I am working with PCA to do dimensionality reduction to a set of data.
I have 1600 data points with 36 variables and I want to have a matrix with a new data set with 6 principal components. I managed to do it in matlab, so I have:
xtrain (normalized) <1600x36>
and I write:
which gives me a <36x6> matrix
So far so good. Now I want to know how to reverse the process. If I'm given a data set of how do I use the coeff matrix to pass it to a "n x 36" representation?
I would like to do this in matlab but a simple explanation can help me.