[R] r: eviews and r // eigen analysis

From: Clark Allan <Allan_at_STATS.uct.ac.za>
Date: Mon 14 Mar 2005 - 21:59:45 EST


hi all

i have a question that about the eigen analysis found in R and in eviews.

i used the same data set in the two packages and found different answers. which is incorrect?

the data is:
aa ( a correlation matrix)

1	0.9801	0.9801	0.9801	0.9801
0.9801	1	0.9801	0.9801	0.9801
0.9801	0.9801	1	0.9801	0.9801
0.9801	0.9801	0.9801	1	0.9801
0.9801	0.9801	0.9801	0.9801	1

now
> svd(aa)
$d
[1] 4.9204 0.0199 0.0199 0.0199 0.0199

$u

           [,1] [,2] [,3] [,4] [,5]
[1,] -0.4472136 9.283999e-18 1.939587e-17 -2.101554e-15 0.8944272
[2,] -0.4472136 8.089763e-01 7.115435e-17 3.091235e-01 -0.2236068
[3,] -0.4472136 2.178563e-02 8.226578e-18 -8.657513e-01 -0.2236068
[4,] -0.4472136 -4.153810e-01 -7.071068e-01 2.783139e-01 -0.2236068
[5,] -0.4472136 -4.153810e-01 7.071068e-01 2.783139e-01 -0.2236068

$v

           [,1] [,2] [,3] [,4] [,5]
[1,] -0.4472136 0.00000000 0.000000e+00 0.0000000 0.8944272
[2,] -0.4472136 0.80897632 -4.976488e-17 0.3091235 -0.2236068
[3,] -0.4472136 0.02178563 1.077421e-17 -0.8657513 -0.2236068
[4,] -0.4472136 -0.41538097 -7.071068e-01 0.2783139 -0.2236068
[5,] -0.4472136 -0.41538097 7.071068e-01 0.2783139 -0.2236068

the results from Eviews is:

eigenvectors = (note that Eviews arranges the eigen vectors in ascending order of the size of the eigen values)

 0.305963	-0.266024	-0.219066	-0.766569	 0.447214
 0.315257	-0.603871	 0.075772	 0.574640	 0.447214
 0.461958	 0.726861	 0.199385	 0.136062	 0.447214
-0.482609	 0.185567	-0.700705	 0.204124	 0.447214
-0.600569	-0.042534	 0.644614	-0.148258	 0.447214

eigen values =

 0.019900
 0.019900
 0.019900
 0.019900
 4.920400

NOTE THAT THE EIGEN VALUES ARE THE SAME BUT THE EIGEN VECTORS ARE NOT!!! why is this so?

if one sets aa=

 1.000000	 0.500000	 0.250000
 0.500000	 1.000000	 0.350000
 0.250000	 0.350000	 1.000000


then both packages give the same answers.



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https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Mon Mar 14 22:04:31 2005

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