Updating formula for the sample covariance and correlation

Equation (13) holds for each eigenvector-eigenvalue pair of matrix .

updating formula for the sample covariance and correlation-46

The eigenvalues still represent the variance magnitude in the direction of the largest spread of the data, and the variance components of the covariance matrix still represent the variance magnitude in the direction of the x-axis and y-axis.

In this article, we provide an intuitive, geometric interpretation of the covariance matrix, by exploring the relation between linear transformations and the resulting data covariance.

Most textbooks explain the shape of data based on the concept of covariance matrices.

If the covariance matrix of our data is a diagonal matrix, such that the covariances are zero, then this means that the variances must be equal to the eigenvalues .

This is illustrated by figure 4, where the eigenvectors are shown in green and magenta, and where the eigenvalues clearly equal the variance components of the covariance matrix.

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