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Principal Components and Regression by Singular Value Decomposition on a Small Computer

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  • J. C. Nash
  • L. P. Lefkovitch

Abstract

A compact program for performing a variety of regression and principal component computations is described. A singular value decomposition of the data matrix is used which permits calculations involving rank deficient data to be handled satisfactorily. The importance of avoiding the calculation of a sum of squares and cross‐products matrix is demonstrated by an example.

Suggested Citation

  • J. C. Nash & L. P. Lefkovitch, 1976. "Principal Components and Regression by Singular Value Decomposition on a Small Computer," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 25(3), pages 210-216, November.
    • Handle: RePEc:bla:jorssc:v:25:y:1976:i:3:p:210-216
    DOI: 10.2307/2347228
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