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 $cv^2$.