The FACTOR Procedure |

Variable Weights and Variance Explained |

A principal component analysis of a correlation matrix treats all variables as equally important. A principal component analysis of a covariance matrix gives more weight to variables with larger variances. A principal component analysis of a covariance matrix is equivalent to an analysis of a weighted correlation matrix, where the weight of each variable is equal to its variance. Variables with large weights tend to have larger loadings on the first component and smaller residual correlations than variables with small weights.

You might want to give weights to variables by using values other than their variances. Mulaik (1972) explains how to obtain a maximally reliable component by means of a weighted principal component analysis. With the FACTOR procedure, you can indirectly give arbitrary weights to the variables by using the COV option and rescaling the variables to have variance equal to the desired weight, or you can give arbitrary weights directly by using the WEIGHT option and including the weights in a TYPE=CORR data set.

Arbitrary variable weights can be used with the METHOD=PRINCIPAL, METHOD=PRINIT, METHOD=ULS, or METHOD=IMAGE option. Alpha and ML factor analyses compute variable weights based on the communalities (Harman; 1976, pp. 217–218). For alpha factor analysis, the weight of a variable is the reciprocal of its communality. In ML factor analysis, the weight is the reciprocal of the uniqueness. Harris component analysis uses weights equal to the reciprocal of one minus the squared multiple correlation of each variable with the other variables.

For uncorrelated factors, the variance explained by a factor can be computed with or without taking the weights into account. The usual method for computing variance accounted for by a factor is to take the sum of squares of the corresponding column of the factor pattern, yielding an unweighted result. If the square of each loading is multiplied by the weight of the variable before the sum is taken, the result is the weighted variance explained, which is equal to the corresponding eigenvalue except in image analysis. Whether the weighted or unweighted result is more important depends on the purpose of the analysis.

In the case of correlated factors, the variance explained by a factor can be computed with or without taking the other factors into account. If you want to ignore the other factors, the variance explained is given by the weighted or unweighted sum of squares of the appropriate column of the factor structure since the factor structure contains simple correlations. If you want to subtract the variance explained by the other factors from the amount explained by the factor in question (the Type II variance explained), you can take the weighted or unweighted sum of squares of the appropriate column of the reference structure because the reference structure contains semipartial correlations. There are other ways of measuring the variance explained. For example, given a prior ordering of the factors, you can eliminate from each factor the variance explained by previous factors and compute a Type I variance explained. Harman (1976, pp. 268–270) provides another method, which is based on direct and joint contributions.

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