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is there a relationship between eigen values and covariance matrix?

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Mohamed Moawed
Mohamed Moawed 2013-4-22
when calculating Principle Component Analysis, we need to compute first the covariance matrix, then we get the eigenvalues and the eigenvectors. if the covariance matrix is n X n, then there are n eigenvalues. is there a relationship between covariance matrix and eigenvalues?

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Walter Roberson
Walter Roberson 2013-4-22

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