Y is a data matrix, and z = yf for some orthogonal matrix f

Assignment Help Basic Statistics

Reference no: EM13304416

Suppose Y is a data matrix, and Z = YF for some orthogonal matrix F, so that Z is a rotated version of Y. Show that the variances of the principal components are the same for Y and Z. (This result should make intuitive sense.) [Hint: Find the spectral decomposition of the covariance of Z from that of Y, then note that these covariance matrices have the same eigenvalues.]

Reference no: EM13304416

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