A geometric interpretation of the covariance matrix Contents [hide] 1 Introduction 2 Eigendecomposition of a covariance matrix 3 Covariance matrix as a linear transformation 4 Conclusion Introduction In this article, we provide an intuitive, geometri…
What is an eigenvector of a covariance matrix? One of the most intuitive explanations of eigenvectors of a covariance matrix is that they are the directions in which the data varies the most. (More precisely, the first eigenvector is the direction in…
covariance, co本能的想到双变量,用于描述两个变量之间的关系. correlation,相关性,covariance标准化后就是correlation. covariance的定义: 期望,实例减去均值,积 covariance matrix也就是相关性矩阵的原始形式,描述了一群变量之间的相互关系 一下是一个例子: For eg here’s an example : Covariance matrix is of dimension #cols * #cols, diagonal…
how to get data covariance matrix: http://stattrek.com/matrix-algebra/covariance-matrix.aspx meaning of eigen values of covariance matrix: https://www.quora.com/What-is-an-eigenvector-of-a-covariance-matrix…
A Beginner’s Guide to Eigenvectors, PCA, Covariance and Entropy Content: Linear Transformations Principal Component Analysis (PCA) Covariance Matrix Change of Basis Entropy & Information Gain Resources This post introduces eigenvectors and their rela…
