Why validation in Principle Components Analysis?

I have written an analysis and replication of the following figure in M&M05:

fig3_450

It is known – in some circles- that this figure is misleading. What I have not seen yet is that the figure should have looked like this:

pca-01-01

and also not have seen is that – had M&M done a proper validation of the choice of Principle Components, they would also have found a hockestick in their version of the scaling of the data:

pca-03-12

The full report is here (warning, PDF):

Draft: Why validation in Principle Components Analysis?

Reactions that are directly related to the statistics and R code in this draft are welcome.  If you have someting else to say wait until after the first revision.

[M&M05a]: McIntyre, S. and McKitrick, R.: 2005, ‘Hockey sticks, principal components, and spurious significance’, Geophys. Res. Lett. 32, L03710

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