The PRINCOMP Procedure

Computational Resources

Let

\begin{eqnarray*}  n &  = &  \mr{number~  of~  observations} \\ v &  = &  \mr{number~  of~  VAR~  variables} \\ p &  = &  \mr{number~  of~  PARTIAL~  variables} \\ c &  = &  \mr{number~  of~  components} \\ \end{eqnarray*}
  • The minimum allocated memory required (in bytes) is

    \[  232v+120p+48c+\max (8cv,8vp+4(v+p)(v+p+1))  \]
  • The time required to compute the correlation matrix is approximately proportional to

    \[  n(v+p)^2 + \frac{p}{2}(v+p)(v+p+1)  \]
  • The time required to compute eigenvalues is approximately proportional to $v^3$.

  • The time required to compute eigenvectors is approximately proportional to $cv^2$.