[R] PCA filtering

[Philippe Grosjean]

elkurdy at qp.com.qa wrote:
>
>
>
> Hi,
>
> Is there a function under R that does principal component analysis and
then
> use the selected eignevectors to filter the data and transform back to the
> original coordinates?
> If there isn't, can someone guide as to how to do this approach.
>
> Much appreciated.
>

You have such a function in the pastecs library. It is called decevf(), for
"decomposition with eigenvector filtering (EVF), which is a synonyme for PCA
filtering. Once you have installed pastecs package, issue:

> library(pastecs)
> ?decevf
> example(decevf)

as a starting point.
Best,

Philippe Grosjean

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