Covariance: Get fraction variance...

A command to ask the selected Covariance object for the fraction of the total variance that is accounted for by the selected dimension(s).

Settings

From dimension, To dimension
define the range of components. By choosing both numbers equal, you get the fraction of the variance "explained" by that dimension.

Details

The total variance is the sum of the diagonal elements of the covariance matrix C, i.e., its trace. The fraction is defined as:

Σi=from..to Cii / Σi=1..numberOfRows Cii

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© djmw, April 7, 2004