seniorPCA
What is the role of covariance matrix eigen decomposition in PCA?
Updated May 17, 2026
Short answer
Eigen decomposition identifies directions of maximum variance in the covariance matrix.
Deep explanation
PCA computes covariance matrix of centered data and performs eigen decomposition to extract eigenvectors (principal directions) and eigenvalues (variance magnitude). Sorting eigenvalues in descending order gives principal components ranked by importance.
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