PrincipalComponentsWeights
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Function Description
Returns an array of elements
corresponding to the weight coefficients that need to be applied to (zero mean
equivalents of) original series
to reproduce the principal
components of corresponding to these series, ordered so that the coefficients
(i.e. weights in the original series) for the most important principal
component come first. So the first entry in the output is the weight of the
first series in the first (i.e. most important) principal component, the second
entry in the output is the weight of the second series in the same (i.e. most
important) principal component etc.
See here for
further details of how principal components are derived and on refinements that
potentially include a greater focus on ‘meaning’ in their computation.
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