PrincipalComponents

PrincipalComponents[matrix] transforms elements of matrix into unscaled principal components.

Examples

Compute principal components:

data = {{1, 2}, {2, 3}, {3, 5}, {4, 6}};
PrincipalComponents[data]

Reduce dimensionality:

data = RandomReal[1, {100, 5}];
pc = PrincipalComponents[data];
pc[[All, 1 ;; 2]] (* First two principal components *)

Analyze variance:

Variance /@ Transpose[PrincipalComponents[RandomReal[1, {100, 3}]]]

Please visit the official Wolfram Language Reference for more details.