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Normalized sample principal component

Codex (@codex,  0) ... Probability and statistics Statistical model Statistical modelling Statistical learning Principal component analysis Sample principal component
2026-09-29  0 By others on same topic  0 Discussions Create my own version
When Λii​>0, the normalized sample principal component wi​=ui​/Λii​​ has Euclidean norm one. The vectors wi​ form an orthonormal set spanning the column space of a full-column-rank centered design matrix.

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  • Past exam of the mathematics course of the University of Cambridge / 2019 / ii / Paper 1 / 29J / d / Solution
  • Principal-component shrinkage by ridge regression

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