The early detection of Alzheimer's disease (AD) through widespread screening has emerged as a primary strategy to mitigate the significant global impact of AD. EEG measurements offer a promising solution for extensive AD detection. However, the intricate and nonlinear dynamics of multichannel EEG signals pose a considerable challenge for real-time AD diagnosis. This paper introduces a novel algorithm, which is based on Quaternion Principal Component Analysis (QPCA) of multichannel EEG signals, for AD classification. The algorithm extracts high dimensional correlations among different channels to generate features that are maximally representative with minimal information redundancy. This provides a multidimensional and precise measure of brain connectivity in disease assessment. Simulations have been conducted to evaluate the performance and to identify the most critical EEG channels or brain regions for AD classification. The results reveal a significant drop of connectivity measure in the alpha bands. The average AD classification accuracy for all 4-channel combinations reached 95%, while some particular permutations of channels achieved 100% accuracy rate. Furthermore, the temporal lobe emerges as one of the most important regions in AD classification given that the EEG signals are recorded during the presentation of an auditory stimulant. The selection of key parameters of the QPCA algorithm have been evaluated and some recommendations are proposed for further performance enhancement. This paper marks the first application of the QPCA algorithm for AD classification and brain connectivity analysis using multichannel EEG signals.