Eigenvalue and factor models: how to get the orthogonal matrix?

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Charles Martineau 2012-6-26

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https://ww2.mathworks.cn/matlabcentral/answers/42126-eigenvalue-and-factor-models-how-to-get-the-orthogonal-matrix

Hi everyone, I would like to know if there is a command to form factor models and get the orthogonal matrix in matlab. For instance, let QAQ = covariance matrix of x and A is a diagonal matrix of eigenvalues of the matrix cov(x) and Q is an orthogonal matrix whose columns are standardized eigenvectors. How can I get the Q...the orthogonal matrix in matlab?

Thank you,