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DATA MINING from data to information Ronald
Westra Dep. Mathematics Knowledge
Engineering Maastricht University
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PART 1 Introduction
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  All information on math-part of course
on http//www.math.unimaas.nl/personal/ronaldw/D
AM/DataMiningPage.htm
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Data mining - a definition
  "Data mining is the process of exploration
and analysis, by automatic or semi-automatic
means, of large quantities of data in order to
discover meaningful patterns and results."  
(Berry Linoff, 1997, 2000)
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DATA MINING  
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DATA MINING  
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DATA AS SETS OF MEASUREMENTS AND OBSERVATIONS

• Data Mining Lecture II
• Chapter 2 from Principles of Data Mining by
  Hand,, Manilla, Smyth

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VISUALISING AND EXPLORING DATA-SPACE

• Data Mining Lecture III
• Chapter 2 from Principles of Data Mining by
  Hand,, Manilla, Smyth

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MEAN
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Principal axis 2
Principal axis 1
MEAN
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Principal component analysis (PCA) is a technique
that is useful for the compression and
classification of data. The purpose is to reduce
the dimensionality of a data set (sample) by
finding a new set of variables, smaller than the
original set of variables, that nonetheless
retains most of the sample's information. By
information we mean the variation present in the
sample, given by the correlations between the
original variables. The new variables, called
principal components (PCs), are uncorrelated, and
are ordered by the fraction of the total
information each retains.
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overview

• geometric picture of PCs

• algebraic definition and derivation of PCs

• usage of PCA

• astronomical application

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Geometric picture of principal components (PCs)
A sample of n observations in the 2-D space
Goal to account for the variation in a sample
in as few variables as possible, to some
accuracy
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Geometric picture of principal components (PCs)

• the 1st PC is a minimum distance fit to
  a line in space

• the 2nd PC is a minimum distance fit to a
  line
• in the plane perpendicular to the 1st PC

PCs are a series of linear least squares fits to
a sample, each orthogonal to all the previous.
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Algebraic definition of PCs
Given a sample of n observations on a vector of p
variables
define the first principal component of the
sample by the linear transformation
?
where the vector
is chosen such that
is maximum
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Algebraic definition of PCs
Likewise, define the kth PC of the sample by the
linear transformation
?
where the vector
is chosen such that
is maximum
subject to
and to
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Algebraic derivation of coefficient vectors
To find first note that
where
is the covariance matrix for the variables
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Algebraic derivation of coefficient vectors
To find maximize
subject to
Let ? be a Lagrange multiplier
then maximize
by differentiating
therefore
is an eigenvector of
corresponding to eigenvalue
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Algebraic derivation of
We have maximized
So is the largest eigenvalue of
The first PC retains the greatest amount
of variation in the sample.
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Algebraic derivation of coefficient vectors
To find the next coefficient vector
maximize
subject to
and to
First note that
then let ? and f be Lagrange multipliers, and
maximize
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Algebraic derivation of coefficient vectors
We find that is also an eigenvector of
whose eigenvalue is the second
largest.
In general

• The kth largest eigenvalue of is the
  variance of the kth PC.

• The kth PC retains the kth greatest
  fraction
• of the variation in the sample.

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Algebraic formulation of PCA
Given a sample of n observations
on a vector of p variables
define a vector of p PCs
according to
where is an orthogonal p x p matrix
whose kth column is the kth eigenvector
of
Then
is the covariance matrix of the PCs,
being diagonal with elements
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usage of PCA Probability distribution for
sample PCs
If (i) the n observations of in the
sample are independent

• is drawn from an underlying population
  that
• follows a p-variate normal (Gaussian)
  distribution
• with known covariance matrix

then
where is the Wishart distribution
else utilize a bootstrap approximation
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usage of PCA Probability distribution for
sample PCs
If (i) follows a Wishart
distribution

• the population eigenvalues are all
  distinct

then the following results hold as

• all the are independent of all the

• 
  and

are jointly normally distributed

(a tilde denotes a population quantity)
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usage of PCA Probability distribution for
sample PCs
and

(a tilde denotes a population quantity)
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usage of PCA Inference about population PCs
If follows a p-variate normal
distribution
then analytic expressions exist for
MLEs of , , and
confidence intervals for and
hypothesis testing for and
else bootstrap and jackknife
approximations exist
see references, esp. Jolliffe
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usage of PCA Practical computation of PCs
In general it is useful to define standardized
variables by
If the are each measured
about their sample mean
then the covariance matrix of
will be equal to the correlation matrix of
and the PCs
will be dimensionless

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usage of PCA Practical computation of PCs
Given a sample of n observations on a vector
of p variables
(each measured about its sample mean)
compute the covariance matrix
where is the n x p matrix
whose ith row is the ith obsv.
Then compute the n x p matrix
whose ith row is the PC score

for the ith observation.
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usage of PCA Practical computation of PCs
Write to decompose
each observation into PCs
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usage of PCA Data compression
Because the kth PC retains the kth greatest
fraction of the variation
we can approximate each observation
by truncating the sum at the first m lt p PCs
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usage of PCA Data compression
Reduce the dimensionality of the data
from p to m lt p by approximating
where is the n x m portion of
and is the p x m portion of
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astronomical application PCs for elliptical
galaxies
Rotating to PC in BT S space improves
Faber-Jackson relation
as a distance indicator
Dressler, et al. 1987
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astronomical application Eigenspectra (KL
transform)
Connolly, et al. 1995
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references
Connolly, and Szalay, et al., Spectral
Classification of Galaxies An Orthogonal
Approach, AJ, 110, 1071-1082, 1995. Dressler, et
al., Spectroscopy and Photometry of Elliptical
Galaxies. I. A New Distance Estimator, ApJ,
313, 42-58, 1987. Efstathiou, G., and Fall, S.M.,
Multivariate analysis of elliptical galaxies,
MNRAS, 206, 453-464, 1984. Johnston, D.E., et
al., SDSS J09035028 A New Gravitational
Lens, AJ, 126, 2281-2290, 2003. Jolliffe, Ian
T., 2002, Principal Component Analysis
(Springer-Verlag New York, Secaucus, NJ). Lupton,
R., 1993, Statistics In Theory and Practice
(Princeton University Press, Princeton,
NJ). Murtagh, F., and Heck, A., Multivariate Data
Analysis (D. Reidel Publishing Company,
Dordrecht, Holland). Yip, C.W., and Szalay, A.S.,
et al., Distributions of Galaxy Spectral Types
in the SDSS, AJ, 128, 585-609, 2004.
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1 pc
2 pc
4 pc
3 pc
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