Re: [R] Mental Block with PCA of multivariate time series!

From: Gavin Simpson <gavin.simpson_at_ucl.ac.uk>
Date: Mon 16 May 2005 - 20:21:13 EST

Laura Quinn wrote:
> Sorry, I don't think I made myself clear enough with my initial query!
>
> I am wishing to investigate the temporal evolution of the pca: if we
> assume that every 50 rows of my data frame is representitive of, for
> instance, 1 day of data, I am hoping to automate a process whereby a pca
> is performed on every 50 rows of data and the loading for PC1 and PC2 for
> each variable (i.e. each column) is represented as a point on a plot - so
> a years' data will be represented as two lines (representing PC1 and PC2)
> on a time series plot for each variable.
>
>
>
> Laura Quinn
> Institute of Atmospheric Science
> School of Earth and Environment
> University of Leeds
> Leeds
> LS2 9JT
>
> tel: +44 113 343 1596
> fax: +44 113 343 6716
> mail: laura@env.leeds.ac.uk
>
> On Mon, 16 May 2005, Gavin Simpson wrote:
>
>
>>Laura Quinn wrote:
>>
>>>Please could someone point me in the right direction as I appear to be
>>>having a total mental block with fairly basic PCA problem!
>>>
>>>I have a large dataframe where rows represent independent
>>>observations and columns are variables. I am wanting to perform PCA
>>>sequentially on blocks of nrows at a time and produce a graphical output
>>>of the loadings for the first 2 EOFs for each variable.
>>>
>>>I'm sure I've performed a very similar routine in the past, but the method
>>>is currently escaping me.
>>>
>>>Any help gratefully received!
>>
>>Hi Laura,
>>
>>data(iris)
>>iris.dat <- iris[,1:4]
>>pca.1 <- prcomp(iris.dat[1:50, ], scale = TRUE)
>>pca.2 <- prcomp(iris.dat[51:100, ], scale = TRUE)
>>pca.3 <- prcomp(iris.dat[100:150, ], scale = TRUE)
>>
>>biplot(pca.1)
>>etc...
>>
>>There is a better way of subsetting this data set as the 5th col of iris
>>is a factor and we could use the subset argument to prcomp to do the
>>subsetting without having to know that there are 50 rows per species.
>>Take a look at that argument if you have a variable that defines the
>>blocks for you.
>>
>>Is this what you were after?
>>
>>All the best,
>>
>>Gav
>>--
>>%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%
>>Gavin Simpson [T] +44 (0)20 7679 5522
>>ENSIS Research Fellow [F] +44 (0)20 7679 7565
>>ENSIS Ltd. & ECRC [E] gavin.simpsonATNOSPAMucl.ac.uk
>>UCL Department of Geography [W] http://www.ucl.ac.uk/~ucfagls/cv/
>>26 Bedford Way [W] http://www.ucl.ac.uk/~ucfagls/
>>London. WC1H 0AP.
>>%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%
>>
>
>
>
>

Hi Laura,

Sorry for not quite understanding the specifics, does this do what you want?

# generate some random data for this example dat <- data.frame(var1 = rnorm(1:1000), var2 = runif(1:1000), var3 = rnorm(1:1000) + runif(1:1000), var4 = as.factor(rep(1:10, rep(100, 10)))) # create a list of pca loadings on axis 1, 2 temp <- by(dat[,1:3], dat$var4, function(x) prcomp(x, scale =

        TRUE)$rotation[,1:2])
# plot it
matplot(t(sapply(temp, function(x) x[,1])), type = "n") # add the lines
matlines(t(sapply(temp, function(x) x[,1])), lty = "solid", col = c("red", "blue", "green"))
matlines(t(sapply(temp, function(x) x[,2])), lty = "dotted", col = c("red", "blue", "green"))

It isn't pretty - you'll need to calculate the x/ylims for the matplot call, but if it is want you are after the plotting should be fairly easy thing to work out.

HTH G

-- 
%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%
Gavin Simpson                     [T] +44 (0)20 7679 5522
ENSIS Research Fellow             [F] +44 (0)20 7679 7565
ENSIS Ltd. & ECRC                 [E] gavin.simpsonATNOSPAMucl.ac.uk
UCL Department of Geography       [W] http://www.ucl.ac.uk/~ucfagls/cv/
26 Bedford Way                    [W] http://www.ucl.ac.uk/~ucfagls/
London.  WC1H 0AP.
%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%

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Received on Mon May 16 20:39:30 2005

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