Discriminant Function Analysis - Eigenvalues

Eigenvalues

An eigenvalue in discriminant analysis is the characteristic root of each function. It is an indication of how well that function differentiates the groups, where the larger the eigenvalue, the better the function differentiates. This however, should be interpreted with caution, as eigenvalues have no upper limit. The eigenvalue can be viewed as a ratio of SS_between and SS_within as in ANOVA when the dependent variable is the discriminant function, and the groups are the levels of the IV. This means that the largest eigenvalue is associated with the first function, the second largest with the second, etc..