Exercises 20.04.

2015 - SVD
S M Mahbub Alam
That for a given matrix

Xmn, where n is the number of observations and m is the number

of variables, the expression

1N1(xijxj)(xikxk)

2) Under which conditions taking does the eigen decomposition of a matrix yield an
orthonormal basis, and for which vector space.
the eigen decomposition of a matrix yield an orthonormal basis if it is orthogonally
diagonalizable.

An nn matrix with coefficients is orthogonally diagonalizable over the coefficients

if and only if it is normal; a square matrix is orthogonally diagonalizable over R if
and only if it is Hermitian.

3) When applying Principal Components Analysis, each eigenvector points into the
direction of one the dataset's principal components and how much do the component
contribute to the overall variance is related to each eigenvector's eigenvalue.

Eigenvalues and eigenvectors of covariance matrix gives direction and value of variation
from mean values.