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SUMMARY Simple analytical expressions are derived for the maximum changes in the coefficients of any principal component that are associated with a given (small) change in the variance of the component. This enables a sensitivity analysis to be conducted simultaneously with any principal component analysis, to investigate the stability of the derived components. This has implications for the interpretation of any set of components. A brief illustration is provided, and possible extensions to other multivariate techniques are outlined.
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W. J. Krzanowski (1984) studied this question.
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