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Principal Component Analysis

August 10, 2019 by

Principal component analysis (PCA) is a powerful technique for using the data to choose good bases. In this lesson you will learn how PCA chooses bases to minimize the mean-square error between the N-dimensional signal and a representation using p<N bases. That is, PCA finds the best p<N bases for explaining the variance of the data. The PCA bases are the eigenvectors of a covariance matrix formed from the data. You will also learn how the PCA bases provide a significant reduction in noise when the signal of interest is inherently low dimensional.

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