Principal Components
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The construction of principal components is illustrated. This Demonstration considers the case for two variables  and  that are simulated as multivariate normal with zero means, unit variances, and theoretical correlation  . The sample size  can be 10, 100, or 999, and there are three graphs. Graph 1: the data is plotted along with the Karhunen–Loeve directions Graph 2: the data is shown projected on each of the two Karhunen–Loeve directions; note that there are  data points Graph 3: the principal components are plotted corresponding to each direction; visually, the principal components are the coordinates of the projected points in each of the directions |
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 I. T. Jolliffe, Principal Component Analysis, 2nd ed., New York: Springer, 2004. T. Hastie, R. Tibshirani, and J. Friedman, The Elements of Statistical Learning: Data Mining, Inference, and Prediction, 2nd ed., New York: Springer, 2009.
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