Using matrix algebra I can calculate loadings and scores from the covariance matrix (data matrix is column centered):
covariancematrix=Covariance[data]; loadings=Eigenvectors[N[covariancematrix]]; scores1=data.Transpose[loadings];
I can obtain exactly the same scores using PrincipalComponents:
- my problem is about the signs of the scores values. The absolute values are the same but scores1 and scores2 can differ in the signs. Why?
- how can I apply the Varimax and Oblimin methods in Mathematica?