I’m doing PCA on a training dataset before training a predictive model and I'm using 3 PC’s that explains about 97% of the data. Now, how can I do PCA transformation on test data? I will probably have to use eigen vector matrix(or rotation matrix) obtained from the PCA results of the train dataset and perform matrix multiplication with test data. Do I have to scale and center the test data before? Or is there a function in SAS that does this operation? If you are familiar with R, it will be equivalent to using predict() function with prcomp object.
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