[R] prcomp - arbitrary direction of the returned principal components
tebert @end|ng |rom u||@edu
Wed Oct 12 13:53:06 CEST 2022
Use absolute value
From: R-help <r-help-bounces using r-project.org> On Behalf Of Ashim Kapoor
Sent: Wednesday, October 12, 2022 7:48 AM
To: R Help <r-help using r-project.org>
Subject: [R] prcomp - arbitrary direction of the returned principal components
Dear R experts,
---- snip -----
The signs of the columns of the rotation matrix are arbitrary, and
so may differ between different programs for PCA, and even between
different builds of R.
---- snip ------
My problem is that I am building an index based on Principal Components Analysis.
When the index is high it should indicate stress in the market. Due to the arbitrary sign sometimes I get an index which is HIGH when there is stress and sometimes I get the OPPOSITE - an index which is LOW when there is stress.
This program is shared with other people who may have a different build of R.
I can forcefully use a NEGATIVE sign to FLIP the index when it is LOW.
Now my query is : Just like we do set.seed(1234) and force the pattern of generation of random number and make it REPRODUCIBLE, can I do something like :
Now each time I do prcomp it should choose the SAME ( high or low ) direction of the principle component on ANY computer having ANY version of R installed.
That's what I want. I don't want the the returned principal component to be HIGH(LOW) on my computer and LOW(HIGH) on someone else's computer.
That would confuse the people the code is shared with.
Is this possible ? How do people deal with this ?
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