The central idea of principal component analysis (PCA) is to reduce the dimensionality of a data set which consists of a large number of interrelated variables, while retaining as much as possible of the variation present in the data set. This is achieved by transforming to a new set of variables, the principal components (PCs), which are uncorrelated, and which are ordered so that the first few retain most of the variation present in all of the original variables.
KeywordsPrincipal Component Analysis Lagrange Multiplier Original Variable Large Eigenvalue Multivariate Normal Distribution
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