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Tathagata GhoseTathagata Ghose


I have another question. I often have to extract the Principal Components (using Principal Component Analysis (PCA)) from a number of selected data series.

I know that Flexpro has a plethora of Eigen decomposition related functions. But, since PCA can be called different things, I’m wondering whether Flexpro already does PCA under a different function name. If not, what would be the simplest few lines of matrix commands to extract the PCs?