STAT 445 Study Guide - Final Guide: Principal Component Analysis, Correlation And Dependence, Joule

• School: Simon Fraser University
• Department: Statistics
• Course: STAT 445
• Professor: Michelle Zhou

Document Summary

Y1 = a 1x is the rst principal component if a1 = arg max a: a a=1. V ar(a x) j-th pc (j = 2, ). Yj = a jx is the jth principal component if aj = arg max. V ar(a x) a: a a=1 and cov(a x, yk)=0, k