/* Example 11.5.1 */
proc iml;
x1={ 1 .954 .364 .342 -.129 .313 .496 .424 .592 .545 .084 -.019
   .134};
x2={ .954 1 .297 .284 -.118 .291 .503 .419 .648 .569 .076 -.036
   .144};
x3={ .364 .297 1 .882 -.148 .153 -.029 -.054 .125 -.081 .162
    .220 .126};
x4={.342 .284 .882 1 .220 .381 .174 -.059 .137 -.014 .097 .169
    .015};
x5={-.129 -.118 -.148 .220 1 .364 .296 .004 -.039 .037 -.091
    -.145 -.208};
x6={.313 .291 .153 .381 .364 1 .813 .09 .211 .274 -.036 .024
    -.329};
x7={.496 .503 -.029 .174 .296 .813 1 .372 .465 .679 -.113 -.232
    -.424};
x8={.424 .419 -.054 -.059 .004 .09 .372 1 .482 .557 .061 -.357
   -.202};
x9={.592 .648 .125 .137 -.039 .211 .465 .482 1 .526 .085 -.127
    -.076};
x10={ .545 .569 -.081 -.014 .037 .274 .679 .557 .526 1 -.319
     -.368 -.291};
x11={.084 .076 .162 .097 -.091 -.036 -.113 .061 .085 -.319 1
    .029 .007};
x12={ -.019 -.036 .22 .169 -.145 .024 -.232 -.357 -.127 -.368
    .029 1 .184};
x13={.134 .144 .126 .015 -.208 -.329 -.424 -.202 -.076 -.291
     .007 .184 1};
R=x1//x2//x3//x4//x5//x6//x7//x8//x9//x10//x11//x12//x13;
call eigen (D,H, R);
cptv=0;
do i=1 to 13;
rr=J(1,i,1)*D[1:i,1]/trace(R);
cptv=cptv//rr;
end;
cptv=cptv[2:14,];
/* We decide to choose first six components*/
corr=H[,1:6]*diag(sqrt(D[1:6,]))`;
Rsq=(H[,1:6]#H[,1:6])*D[1:6,];
H=H[,1:6];
print  D cptv Rsq , H,  corr  ;
quit;
                    D          CPTV           RSQ
            4.2186329     0.3245102     0.9085621
            2.3781007      0.507441     0.9248825
             1.878226       0.65192     0.9782258
            1.1093897     0.7372576      0.974454
            0.9100471     0.8072613      0.867493
            0.8154132     0.8699853     0.8634589
            0.5763453     0.9143196     0.9270718
            0.4395721     0.9481328     0.6837714
            0.3526796      0.975262     0.6398021
            0.1908375     0.9899418     0.8723343
            0.0505656     0.9938315      0.958712
            0.0414662     0.9970212     0.8037385
            0.0387243             1     0.9073031
        H
0.4037937 0.2178516  -0.20729 -0.091214 0.0826346 0.1198025
0.4055447 0.1861269 -0.235035 -0.102718 0.1127896 0.1628884
0.1244038 0.5406423 0.1414884 0.0784435 -0.349771 -0.275901
0.1732206 0.4556373  0.352423 0.0547739 -0.355758 -0.054017
0.0571739 -0.170071 0.4812126  0.049113 -0.176098 0.6255574
0.2844251 -0.014195  0.475257 -0.063435 0.3158269 0.0523012
0.3998412 -0.189637 0.2531015 -0.064984 0.2150702 0.0026584
 0.293556 -0.189153 -0.243053 0.2855442  -0.18533 -0.055119
 0.356629 0.0171242 -0.207642 0.0967233 0.1061126 0.0342219
0.3789154 -0.248453 -0.118767 -0.205044 -0.156385 -0.173148
-0.011094 0.2053029 -0.070452 0.8036551 0.3429929 0.1753122
-0.115084 0.3431729 0.0919991 -0.300804 0.6003684 -0.169783
-0.112514 0.3085326 -0.326114 -0.303378 -0.079905 0.6263072
     CORR
0.8293645  0.335951 -0.284088 -0.096074 0.0788305  0.108182
0.8329608 0.2870281 -0.322112 -0.108191 0.1075972 0.1470886
0.2555169 0.8337295 0.1939076 0.0826227 -0.333669  -0.24914
0.3557832 0.7026424   0.48299  0.057692  -0.33938 -0.048777
0.1174313 -0.262268 0.6594941 0.0517295 -0.167991 0.5648798
0.5841896 -0.021891 0.6513321 -0.066814 0.3012875 0.0472281
0.8212463  -0.29244 0.3468715 -0.068446 0.2051692 0.0024005
0.6029437 -0.291694   -0.3331 0.3007568 -0.176798 -0.049772
0.7324914 0.0264074  -0.28457 0.1018763 0.1012276 0.0309025
0.7782661 -0.383142 -0.162768 -0.215968 -0.149186 -0.156353
-0.022786 0.3165995 -0.096554 0.8464704 0.3272028 0.1583073
-0.236374 0.5292101 0.1260833 -0.316829 0.5727297 -0.153314
-0.231095  0.475791 -0.446934 -0.319541 -0.076226 0.5655569