[R] Weighted principal components analysis?

[Alan Cohen]

Hello R-ers,

I'm trying to do a weighted principal components analysis.  I couldn't find any such option with princomp or prcomp.  Does anyone know of a package or way to do this?

More specifically, the observations I'm working with are averages from populations of varying sizes.  I thus need to weight the observations by sample size.  Ideally I could apply these weights at the cell level (i.e., allowing sample size to vary within observations across variables), but even applying them just to the observations would get me most of the way there.

I'm using R v2.8.1 on Windows XP.  I've searched Help and the R site and had no luck.  Thanks for any help you can provide.

Cheers,
Alan Cohen
Centre for Global Health Research
Toronto, Ontario