But, as I have many times over the years, I returned to the advice a mentor gave me long ago: When you’re overwhelmed, confused, or lack drive, look for the hard truths you’re probably ignoring. Then, make a list. What do you know to be true but wish wasn’t? What do you want to change but know you have to accept?
PCA (Principal Components Analysis) gives us our ideal set of features. It creates a set of principal components that are rank ordered by variance (the first component has higher variance than the second, the second has higher variance than the third, and so on), uncorrelated, and low in number (we can throw away the lower ranked components as they contain little signal).