Please prove the first principle component direction v corresponds to the largest eigenvector of the sample covariance matrix: varg max w:||w|≤1 m m (w²x¹ - w²μ)².

Linear Algebra: A Modern Introduction
4th Edition
ISBN:9781285463247
Author:David Poole
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Chapter3: Matrices
Section3.7: Applications
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1. Please prove the first principle component direction v corresponds to the largest eigenvector of the
sample covariance matrix:
varg max
w:||w|≤1 m
m
i=1
(w x³ - wμ)².
Transcribed Image Text:1. Please prove the first principle component direction v corresponds to the largest eigenvector of the sample covariance matrix: varg max w:||w|≤1 m m i=1 (w x³ - wμ)².
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