Let X Є pxn denote a zero mean observation matrix matrix of obser- vations, P be a pxp orthogonal matrix, and Y = PTX. (a) Show that if C is the covariance matrix of X then PTCP is the co- variance matrix of Y = PT CP. (b) It can be verified that tr (FG) = tr (GF) for any two n x n matrices F and G. Use this fact to show that the total variance of the data in Y is equal to the total variance of the data in X.
Let X Є pxn denote a zero mean observation matrix matrix of obser- vations, P be a pxp orthogonal matrix, and Y = PTX. (a) Show that if C is the covariance matrix of X then PTCP is the co- variance matrix of Y = PT CP. (b) It can be verified that tr (FG) = tr (GF) for any two n x n matrices F and G. Use this fact to show that the total variance of the data in Y is equal to the total variance of the data in X.
Linear Algebra: A Modern Introduction
4th Edition
ISBN:9781285463247
Author:David Poole
Publisher:David Poole
Chapter3: Matrices
Section3.7: Applications
Problem 14EQ
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