I am doing a pca on a correlation matrix. I predict the scores. Those scores are uncorrelated. I then conduct an orthogonal rotation and predict the scores again. The resulting scores are highly correlated. Shouldn't the orthogonally rotated scores be uncorrelated? I thought only an oblique rotation should result in correlations among the predicted scores?
Here is a minimum working example:
. sysuse auto, clear
(1978 Automobile Data)
. pca price mpg headroom length, components(2)
Principal components/correlation Number of obs = 74
Number of comp. = 2
Trace = 4
Rotation: (unrotated = principal) Rho = 0.8311
--------------------------------------------------------------------------
Component | Eigenvalue Difference Proportion Cumulative
-------------+------------------------------------------------------------
Comp1 | 2.432 1.53951 0.6080 0.6080
Comp2 | .89249 .411322 0.2231 0.8311
Comp3 | .481168 .286827 0.1203 0.9514
Comp4 | .194341 . 0.0486 1.0000
--------------------------------------------------------------------------
Principal components (eigenvectors)
------------------------------------------------
Variable | Comp1 Comp2 | Unexplained
-------------+--------------------+-------------
price | 0.3977 -0.7152 | .1589
mpg | -0.5745 0.0703 | .193
headroom | 0.4094 0.6918 | .1654
length | 0.5867 0.0709 | .1582
------------------------------------------------
. predict pc1 pc2, score
Scoring coefficients
sum of squares(column-loading) = 1
----------------------------------
Variable | Comp1 Comp2
-------------+--------------------
price | 0.3977 -0.7152
mpg | -0.5745 0.0703
headroom | 0.4094 0.6918
length | 0.5867 0.0709
----------------------------------
. pwcorr pc1 pc2, sig
| pc1 pc2
-------------+------------------
pc1 | 1.0000
|
|
pc2 | 0.0000 1.0000
| 1.0000
|
. rotate
Principal components/correlation Number of obs = 74
Number of comp. = 2
Trace = 4
Rotation: orthogonal varimax (Kaiser off) Rho = 0.8311
--------------------------------------------------------------------------
Component | Variance Difference Proportion Cumulative
-------------+------------------------------------------------------------
Comp1 | 1.75596 .187427 0.4390 0.4390
Comp2 | 1.56853 . 0.3921 0.8311
--------------------------------------------------------------------------
Rotated components
------------------------------------------------
Variable | Comp1 Comp2 | Unexplained
-------------+--------------------+-------------
price | -0.1761 0.7991 | .1589
mpg | -0.3836 -0.4333 | .193
headroom | 0.7650 -0.2468 | .1654
length | 0.4864 0.3357 | .1582
------------------------------------------------
Component rotation matrix
----------------------------------
| Comp1 Comp2
-------------+--------------------
Comp1 | 0.7489 0.6627
Comp2 | 0.6627 -0.7489
----------------------------------
. predict rpc1 rpc2, score
Scoring coefficients for orthogonal varimax rotation
sum of squares(column-loading) = 1
----------------------------------
Variable | Comp1 Comp2
-------------+--------------------
price | -0.1761 0.7991
mpg | -0.3836 -0.4333
headroom | 0.7650 -0.2468
length | 0.4864 0.3357
----------------------------------
. pwcorr rpc1 rpc2, sig
| rpc1 rpc2
-------------+------------------
rpc1 | 1.0000
|
|
rpc2 | 0.4604 1.0000
| 0.0000
Here is a minimum working example:
. sysuse auto, clear
(1978 Automobile Data)
. pca price mpg headroom length, components(2)
Principal components/correlation Number of obs = 74
Number of comp. = 2
Trace = 4
Rotation: (unrotated = principal) Rho = 0.8311
--------------------------------------------------------------------------
Component | Eigenvalue Difference Proportion Cumulative
-------------+------------------------------------------------------------
Comp1 | 2.432 1.53951 0.6080 0.6080
Comp2 | .89249 .411322 0.2231 0.8311
Comp3 | .481168 .286827 0.1203 0.9514
Comp4 | .194341 . 0.0486 1.0000
--------------------------------------------------------------------------
Principal components (eigenvectors)
------------------------------------------------
Variable | Comp1 Comp2 | Unexplained
-------------+--------------------+-------------
price | 0.3977 -0.7152 | .1589
mpg | -0.5745 0.0703 | .193
headroom | 0.4094 0.6918 | .1654
length | 0.5867 0.0709 | .1582
------------------------------------------------
. predict pc1 pc2, score
Scoring coefficients
sum of squares(column-loading) = 1
----------------------------------
Variable | Comp1 Comp2
-------------+--------------------
price | 0.3977 -0.7152
mpg | -0.5745 0.0703
headroom | 0.4094 0.6918
length | 0.5867 0.0709
----------------------------------
. pwcorr pc1 pc2, sig
| pc1 pc2
-------------+------------------
pc1 | 1.0000
|
|
pc2 | 0.0000 1.0000
| 1.0000
|
. rotate
Principal components/correlation Number of obs = 74
Number of comp. = 2
Trace = 4
Rotation: orthogonal varimax (Kaiser off) Rho = 0.8311
--------------------------------------------------------------------------
Component | Variance Difference Proportion Cumulative
-------------+------------------------------------------------------------
Comp1 | 1.75596 .187427 0.4390 0.4390
Comp2 | 1.56853 . 0.3921 0.8311
--------------------------------------------------------------------------
Rotated components
------------------------------------------------
Variable | Comp1 Comp2 | Unexplained
-------------+--------------------+-------------
price | -0.1761 0.7991 | .1589
mpg | -0.3836 -0.4333 | .193
headroom | 0.7650 -0.2468 | .1654
length | 0.4864 0.3357 | .1582
------------------------------------------------
Component rotation matrix
----------------------------------
| Comp1 Comp2
-------------+--------------------
Comp1 | 0.7489 0.6627
Comp2 | 0.6627 -0.7489
----------------------------------
. predict rpc1 rpc2, score
Scoring coefficients for orthogonal varimax rotation
sum of squares(column-loading) = 1
----------------------------------
Variable | Comp1 Comp2
-------------+--------------------
price | -0.1761 0.7991
mpg | -0.3836 -0.4333
headroom | 0.7650 -0.2468
length | 0.4864 0.3357
----------------------------------
. pwcorr rpc1 rpc2, sig
| rpc1 rpc2
-------------+------------------
rpc1 | 1.0000
|
|
rpc2 | 0.4604 1.0000
| 0.0000