/* Example 11.5.2 */
proc iml;
x1={1,.657,.411,.574,.34,.213,-.09,-.049,-.033};
x2={.657,1,.689,.509,.755,.548,-.017,.008,.028};
x3={.411,.689,1,.275,.536,.722,.039,.037,.091};
x4={.574,.509,.275,1,.693,.295,.055,.038,.023};
x5={.34,.755,.536,.693,1,.725,.059,.068,.074};
x6={.213,.548,.722,.295,.725,1,.03,.028,.102};
x7={-.09,-.017,.039,.055,.059,.03,1,.851,.817};
x8={-.049,.008,.037,.038,.068,.028,.851,1,.901};
x9={-.033,.028,.091,.023,.074,.102,.817,.901,1};
R=x1||x2||x3||x4||x5||x6||x7||x8||x9;
call eigen (D,H, R);
cptv=0;
do i=1 to 9;
rr=J(1,i,1)*D[1:i,1]/trace(R);
cptv=cptv//rr;
end;
cptv=cptv[2:10,];
/* We decide to choose first three components*/
Rsq=(H[,1:3]#H[,1:3])*D[1:3,];
H=H[,1:3];
print  D cptv,   H Rsq    ;
quit;
                  D      CPTV
          3.7026872 0.4114097
          2.7132225 0.7128789
          1.0535904 0.8299445
          0.7043085  0.908201
          0.3011143 0.9416581
          0.2332048 0.9675697
          0.1692985 0.9863807
          0.0913795  0.996534
          0.0311943         1
           H                           RSQ
   0.3347347 -0.117779 0.5358726 0.7550623
   0.4610452   -0.0815 0.0551339 0.8082775
   0.4058442 -0.029001 -0.382194 0.7660499
   0.3620933 -0.044033 0.5155181 0.7707267
   0.4555949 -0.027204 -0.072753 0.7761392
   0.3946999 -0.018826 -0.534743 0.8790704
   0.0617228 0.5626268  0.048429 0.8754449
   0.0698498 0.5788298  0.066126  0.931721
   0.0867502 0.5692263 0.0029066 0.9070082