... | @@ -46,7 +46,13 @@ X = X - \overline{X} |
... | @@ -46,7 +46,13 @@ X = X - \overline{X} |
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In the next step, we calculate the covariance matrix:
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In the next step, we calculate the covariance matrix:
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```math
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```math
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S = S^T S
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S = X^T X
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```
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```
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```math
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S = 1/N \sum {n=1}^{N} (x_n - \overline{x})(x_n-\overline{x})^T
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```
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In the third step, we maximize the variance of the projected data onto new coordinate system. This step consists of multiple small steps.
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