qThe EOF analysis asks that the projection coefficients are determined
in such a way that:
q (1) z1 explains the maximum possible amount of the variance of the x’s;
q (2) z2 explains the maximum possible amount of the remaining variance
q of the x’s;
q (3) so forth for the remaining z’s.
q
qWith these requirements, it can be
shown mathematically that the projection coefficient functions (eij) are the eigenvectors of the covariance matrix of x’s.
qThe fraction of the total variance explained by a particular
eigenvector is equal to the ratio of that eigenvalue to the sum of all eigenvalues.