[R] Mental Block with PCA of multivariate time series!

Gavin Simpson gavin.simpson at ucl.ac.uk
Mon May 16 12:21:13 CEST 2005

Laura Quinn wrote:
> Sorry, I don't think I made myself clear enough with my initial query!
> I am wishing to investigate the temporal evolution of the pca: if we
> assume that every 50 rows of my data frame is representitive of, for
> instance, 1 day of data, I am hoping to automate a process whereby a pca
> is performed on every 50 rows of data and the loading for PC1 and PC2 for
> each variable (i.e. each column) is represented as a point on a plot - so
> a years' data will be represented as two lines (representing PC1 and PC2)
> on a time series plot for each variable.
> Laura Quinn
> Institute of Atmospheric Science
> School of Earth and Environment
> University of Leeds
> Leeds
> LS2 9JT
> tel: +44 113 343 1596
> fax: +44 113 343 6716
> mail: laura at env.leeds.ac.uk
> On Mon, 16 May 2005, Gavin Simpson wrote:
>>Laura Quinn wrote:
>>>Please could someone point me in the right direction as I appear to be
>>>having a total mental block with fairly basic PCA problem!
>>>I have a large dataframe where rows represent independent
>>>observations and columns are variables. I am wanting to perform PCA
>>>sequentially on blocks of nrows at a time and produce a graphical output
>>>of the loadings for the first 2 EOFs for each variable.
>>>I'm sure I've performed a very similar routine in the past, but the method
>>>is currently escaping me.
>>>Any help gratefully received!
>>Hi Laura,
>>iris.dat <- iris[,1:4]
>>pca.1 <- prcomp(iris.dat[1:50, ], scale = TRUE)
>>pca.2 <- prcomp(iris.dat[51:100, ], scale = TRUE)
>>pca.3 <- prcomp(iris.dat[100:150, ], scale = TRUE)
>>There is a better way of subsetting this data set as the 5th col of iris
>>is a factor and we could use the subset argument to prcomp to do the
>>subsetting without having to know that there are 50 rows per species.
>>Take a look at that argument if you have a variable that defines the
>>blocks for you.
>>Is this what you were after?
>>All the best,
>>Gavin Simpson                     [T] +44 (0)20 7679 5522
>>ENSIS Research Fellow             [F] +44 (0)20 7679 7565
>>ENSIS Ltd. & ECRC                 [E] gavin.simpsonATNOSPAMucl.ac.uk
>>UCL Department of Geography       [W] http://www.ucl.ac.uk/~ucfagls/cv/
>>26 Bedford Way                    [W] http://www.ucl.ac.uk/~ucfagls/
>>London.  WC1H 0AP.

Hi Laura,

Sorry for not quite understanding the specifics, does this do what you want?

# generate some random data for this example
dat <- data.frame(var1 = rnorm(1:1000), var2 = runif(1:1000), var3 = 
rnorm(1:1000) + runif(1:1000), var4 = as.factor(rep(1:10, rep(100, 10))))
# create a list of pca loadings on axis 1, 2
temp <- by(dat[,1:3], dat$var4, function(x) prcomp(x, scale =
# plot it
matplot(t(sapply(temp, function(x) x[,1])), type = "n")
# add the lines
matlines(t(sapply(temp, function(x) x[,1])), lty = "solid", col = 
c("red", "blue", "green"))
matlines(t(sapply(temp, function(x) x[,2])), lty = "dotted", col = 
c("red", "blue", "green"))

It isn't pretty - you'll need to calculate the x/ylims for the matplot 
call, but if it is want you are after the plotting should be fairly easy 
thing to work out.



Gavin Simpson                     [T] +44 (0)20 7679 5522
ENSIS Research Fellow             [F] +44 (0)20 7679 7565
ENSIS Ltd. & ECRC                 [E] gavin.simpsonATNOSPAMucl.ac.uk
UCL Department of Geography       [W] http://www.ucl.ac.uk/~ucfagls/cv/
26 Bedford Way                    [W] http://www.ucl.ac.uk/~ucfagls/
London.  WC1H 0AP.

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