This section appears only when Wide Linear is selected as the Discriminant Method in the launch window. Consider the following notation:
• Denote the n by p matrix of covariates by Y, where n is the number of observations and p is the number of covariates.
• For each observation in Y, subtract the covariate mean and divide the difference by the pooled standard deviation for the covariate. Denote the resulting matrix by Ys.
The report gives the following:
Number
The number of eigenvalues extracted. Eigenvalues are extracted until Cum Percent is at least 99.99%, indicating that 99.99% of the variation has been explained.
Eigenvalue
The eigenvalues of the covariance matrix for Ys, namely (Ys′Ys)/(n - p), arranged in decreasing order.
Cum Percent
The cumulative sum of the eigenvalues as a percentage of the sum of all eigenvalues. The eigenvalues sum to the rank of Ys′Ys.
Singular Value
The singular values of Ys arranged in decreasing order.