The MWPCA Procedure

OUTPUT Statement

OUTPUT OUT=CAS-libref.data-table <options>;

The OUTPUT statement creates an output data table to contain the results of the procedure run.

You must specify the following option:

OUT=CAS-libref.data-table

names the output data table for PROC MWPCA to use. You must specify this option before any other options. CAS-libref.data-table is a two-level name, where

CAS-libref: refers to a collection of information that is defined in the LIBNAME statement and includes the caslib, which includes a path to where the data table is to be stored, and a session identifier, which defaults to the active session but which can be explicitly defined in the LIBNAME statement. For more information about CAS-libref, see the section Using CAS Sessions and CAS Engine Librefs.
data-table: specifies the name of the output data table.

You can also specify the following options:

NPC=number

specifies the number of principal components to display for each window in the output table.

PCANGLES

displays the angle change and the absolute angle of the first principal component in the output table. Both the angle change and the absolute angle can be used to track the change of the first principal component over sliding windows. The range of both values is between 0 and 1, because both values are normalized by as shown by the following definitions:

The angle change is calculated by
where and are the first principal component vectors of two consecutive observations.
The absolute angle is calculated by
where is the diagonal vector [1,1,1…,1] and is the first principal component vector of the new observation.

STANDARDPC

standardizes the output principal components. If the window matrix is W and the ith principal component vector is , then the jth element of the standard principal component is

where is the ith largest eigenvalue of matrix W.

WINSUMMARY=CAS-libref.data-table

specifies the name of the windows summary table that includes information about each window, such as rank of the low-rank matrix, number of iterations, and solution status.

CAS-libref.data-table is a two-level name, where CAS-libref refers to the caslib and session identifier, and data-table specifies the name of the output data table. For more information about this two-level name, see the DATA= option and the section Using CAS Sessions and CAS Engine Librefs.

Last updated: November 11, 2020