Multivariate Statistical Analysis
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1 Multivariate Statistical Analysis Fall 2011 C. L. Williams, Ph.D. Lecture 4 for Applied Multivariate Analysis
2 Outline 1 Eigen values and eigen vectors Characteristic equation Some properties of eigendecompositions
3 Matrix decompositions, there are many: singular value, cholesky, etc. Eigen values and eigen vectors of matrices are needed for some of the methods to be discussed, including principal components analysis, principal component regression. Determining the eigen values and eigen vectors of a matrix is a very difficult computational problem for all except the simplest cases. We will look at the eigen( function in R to do these. These decompositions will form the core of at least half our multivariate methods (although we need to mention at some point that we actually tend to use the singular value decomposition as a means of getting to these values. If A is a square p p matrix, the eigenvalues (latent roots, characteristic roots are the roots of the equation: A λi = 0
4 This (characteristic equation is a polynomial of degree p in λ. The roots, the eigenvalues of A are denoted by λ 1,λ 2,...,λ p. For each eigen value λ i there is a corresponding eigen vector e i which can be found by solving: (A λ i Ie i = 0 There are many solutions for e i. For our (statistical purposes, we usually set it to have length 1, i.e. we obtain a normalised eigenvector for λ i by a i = e i. ei T e i
5 Some properties of eigendecompositions (a trace(a = Σ p i=1 λ i (b A = p i=1 λ i Also, if A is symmetric: (c The normalised eigenvectors corresponding to unequal eigenvalues are orthonormal (this is a bit of circular definition, if the eigenvalues are equal the corresponding eigenvectors are not unique, and one fix is to choose orthonormal eigenvectors. (d Correlation and covariance matrices: are symmetric positive definite (or semi-definite. If such a matrix is of full rank p then all the eigen values are positive. If the matrix is of rank m < p then there will be m positive eigenvalues and p m zero eigenvalues.
6 Eigenanalysis Eigen values and eigen vectors Consider the following matrix: A = Find the eigenvalues: (
7 1 λ λ = (1 λ(3 λ 8 = 0 = 3 λ 3λ + λ 2 8 = 0 = λ 2 4λ 5 = 0 = (λ 5(λ + 1 = 0 = λ = 1,5
8 Now, assuming λ = 1: ( 1 4 A λi = A + I = 2 3 So that: (A + Ie = 0 = ( ( ( e1 e 2 = = ( ( 0 0
9 So two solutions are given by: 2e 1 + 4e 2 = 0 2e 1 + 4e 2 = 0 which ( are the same(! and have a solution e 1 = 2,e 2 = 1, so 2 is an eigenvector. Given the length of this vector 1 ( , we have a normalised eigenvector as: ( 2/ 5 1/ 5
10 A normalised vector is one scaled to have unit length, For the vector x this can be found by taking e i x x Trivial in R: > x<-c(2,-1 > z<-x/sqrt(t(x%*%x > z [1] > t(z %*% z ## check the length [,1] [1,] 1
11 Also, we might like to consider the case where λ = 5: A λi = A 5I = ( ( = (
12 So that: Eigen values and eigen vectors (A 5Ie = 0 = So two solutions are given by: ( ( e1 e 2 = ( 0 0 4e 1 + 4e 2 = 0 2e 1 2e 2 = 0 which ( are the same(! and have a solution e 1 = 1,e 2 = 1, so 1 is an eigenvector. Given the length of this vector 1 ( , we have a normalised eigenvector as: ( 1/ 2 1/ 2
13 Side note: Orthonormality We have already discussed that two vectors x and y, of order k 1 are orthogonal if x y = 0. but we can further say that if two vectors x and y are orthogonal and of unit length, i.e. if x y = 0, x x = 1 and y y = 1 then they are orthonormal.
14 Outline Eigen values and eigen vectors 1 Eigen values and eigen vectors Characteristic equation Some properties of eigendecompositions
15 Orthonormality Eigen values and eigen vectors Consider these three vectors. Which of these are orthogonal? x = 2 3 y = 7 1 z = Normalise the two orthogonal vectors, so that we have two orthonormal vectors.
16 Now identify the two orthonormal vectors: x norm = y norm = z norm = 1/ 30 2/ 30 3/ 30 4/ 30 6/ 90 7/ 90 1/ 90 2/ 90 5/ 115 4/ 115 5/ 115 7/ 115
17 Further practice Orthogonality Eigen values and eigen vectors Find a vector which is orthogonal to ( 1 u = 3 ( 3 1 ( 1 3 ( 3 1 ( 3 1
18 Further practice Orthogonality Eigen values and eigen vectors Find a vector which is orthogonal to ( 1 u = 3 ( 3 1 ( 1 3 ( 3 1 ( 3 1
19 Further practice Orthogonality Eigen values and eigen vectors Find a vector which is orthogonal to ( 1 u = 3 ( 3 1 ( 1 3 ( 3 1 ( 3 1
20 Further practice Orthogonality Eigen values and eigen vectors Find a vector which is orthogonal to ( 1 u = 3 ( 3 1 ( 1 3 ( 3 1 ( 3 1
21 Further practice Orthogonality Eigen values and eigen vectors A vector which is orthogonal to ( 1 u = 3 ( 3 1
22 Further practice Orthogonality Eigen values and eigen vectors A vector which is orthogonal to ( 1 u = 3 ( 3 1
23 Do please note carefully that this is not a unique solution. Any w 1 and w 2 that satisfies w 1 + 3w 2 = 0 will be orthogonal to u. Did you find any others?
24 And a vector which is orthogonal to: v =
25 And a vector which is orthogonal to: 2 v =
26 If you are really comfortable with eigenanalysis of 2 2 matrices have a go at these 3 3 matrices. e = f = g =
27 Outline Eigen values and eigen vectors 1 Eigen values and eigen vectors Characteristic equation Some properties of eigendecompositions
28 Turns the first column into the first row etc.. A transposed matrix is denoted by a superscripted, in other words A T is the transpose of A. If A = then A T = ( As with vectors, transposing matrices in R simply requires a call to t(, the dimensions can be checked with dim(.
29 Outline Eigen values and eigen vectors 1 Eigen values and eigen vectors Characteristic equation Some properties of eigendecompositions
30 Eigen values and eigen vectors Symmetric around the diagonal i = j. For matrix A, it is symmetric whenever a ij = a ji. The correlation matrix and the variance-covariance matrix are the most common symmetric matrices we will encounter,
31 Outline Eigen values and eigen vectors 1 Eigen values and eigen vectors Characteristic equation Some properties of eigendecompositions
32 Eigen values and eigen vectors Elements on the diagonal (where i = j and zero elsewhere (where i j. For example, the matrix A given as follows: A = is a diagonal matrix. To save paper and ink, A can also be written as: A = diag (
33 Outline Eigen values and eigen vectors 1 Eigen values and eigen vectors Characteristic equation Some properties of eigendecompositions
34 Finally, note that we can partition a large matrix into smaller ones: ( 0 7 So we could work with submatrices such as. 4 3 ( X1 e.g. If X was partitioned as and ( Y X 1 Y 2 Y 3 then: 2 ( X1 Y XY = 1 X 1 Y 2 X 1 Y 3 X 2 Y 1 X 2 Y 2 X 2 Y 3
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