PCA, Principal Component Analysis

This is a new version.

For a more detailed exposition, I would recommend:

1. The video by Alexander Ihler,Linear dimensionality reduction: principal components analysis (PCA) and the singular value decomposition (SVD), Nov 19, 2012

2. Principal Component Analysis (PCA) - THE MATH YOU SHOULD KNOW,

3. Visual Explanation of Principal Component Analysis, Covariance, SVD