Principal Component Analysis

Principal Component Analysis (PCA) is a method for exploratory data analysis. PCA transforms a set of observations of possibly correlated variables to a new set of uncorrelated variables, called principal components. Principal components are the directions of the largest variance, that is, the directions where the data is mostly spread out.

Because all principal components are orthogonal to each other, there is no redundant information. This is a way of replacing a group of variables with a smaller set of new variables. PCA is one of powerful techniques for dimension reduction.

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