property EigValues: TVec;
Returns the eigenvalues.
Result: stored in self (calling object), returns self for chaining
Remarks:
Returns the TMtxPCA.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.
See Also: TMtxPCA.PC, TMtxPCA.TotalVarPct