Summary
Returns the eigenvalues.
Class
TMtxPCA
Declaration
Property EigValues: TVec read FEigValues;
Description
Returns the
Data matrix eigenvalues. Eigenvalues can be used to determine how many factors to retain. When the PCA is run on the correlations, one rule-of-thumb is to retain those factors whose eigenvalues are greater than one. The sum of the eigenvalues is equal to the number of variables. When the PCA is run on the covariances, the sum of the eigenvalues is equal to the sum of the variances of the variables.
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