The Mathematics Behind Principal Component Analysis

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We provide an intuitive proof of the spectral theorem, which is the mathematical foundation of principal component analysis. This theorem states that the maximum of a quadratic form on the unit sphere lies in the direction of an eigenvector of the corresponding matrix. We show that this is necessarily the case using a simple geometric argument.

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  1. Carlos Fernandez-Granda
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Thank you for your material on YouTube. I have been using your book on probability and statistics for data science and it helps me quite a bit. Saludos desde México.

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