Timeline for How can I reproduce the result of PrincipalComponents
Current License: CC BY-SA 3.0
4 events
| when toggle format | what | by | license | comment | |
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| Nov 15, 2019 at 10:43 | comment | added | J. M.'s missing motivation♦ | I apparently missed this comment: the thing with SVD is that it often gives more accurate results for the singular values and vectors, as opposed to computing the eigendecomposition of the cross-product matrix. I discuss a classical example here. As for the covariance matrix: in fact, a route often taken is to just assemble it from the right singular vectors and the singular values. | |
| Aug 12, 2019 at 11:24 | comment | added | Sjoerd Smit | So just out of curiosity: are there any practical reasons for preferring one over the other? From my brief experiments, computing the eigenvectors of the covariance matrix seems to be faster than computing the (truncated) SVD of the data. The covariance matrix is also a useful quantity by itself, so you'll often end up calculating that anyway and it's a small step to calculate the eigenvectors after that. | |
| Sep 12, 2017 at 14:10 | vote | accept | HyperGroups | ||
| Sep 11, 2017 at 3:59 | history | answered | J. M.'s missing motivation♦ | CC BY-SA 3.0 |