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- Also known as Karhunen-Loeve transform (KLT)
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- Works for
distances only as others are not invariant to rotation
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- Easier way to compute covariance:
is covariance matrix
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- Allows use of SVD to compute PCA
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- Eigenvector matrix
of is really the SVD transform matrix for ![](images/img617.png)
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- Different from SVD of
though
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