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Suppose the mean corrected data matrix is XC. Decompose it with SVD as XC=UA*V. Use (n-1)U as the coordinates for the n observations and
Suppose the mean corrected data matrix is XC. Decompose it with SVD as XC=UA*V. Use (n-1)U as the coordinates for the n observations and A*V/n-1 as the coordinates for the p- variables. Prove that the correlation of two variables is reflected by the angle between the two corresponding vectors of the two variables.
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Let XC be the mean corrected data matrix with dimensions n x p and let XC UA V be the singular value decomposition of XC First we can define the coord...
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Probability And Statistics
Authors: Morris H. DeGroot, Mark J. Schervish
4th Edition
9579701075, 321500466, 978-0176861117, 176861114, 978-0134995472, 978-0321500465
