Module 6: Dimensionality Reduction
  Lecture 30: Principal Component Analysis (PCA)
 

                                            

 

 

Properties
  • Also known as Karhunen-Loeve transform (KLT)
  • Works for distances only as others are not invariant to rotation
  • Mean-centering
 
  • Easier way to compute covariance: is covariance matrix
 
  • Allows use of SVD to compute PCA