Principal components analysis, PCA

Math:

Assumptions:

Usual steps:

What may go wrong:

Discussion:

Replication examples:

Links:

• https://stats.stackexchange.com/questions/2691/making-sense-of-principal-component-analysis-eigenvectors-eigenvalues/2700#2700

• https://scikit-learn.org/stable/auto_examples/decomposition/plot_pca_3d.html#sphx-glr-auto-examples-decomposition-plot-pca-3d-py

• https://stats.stackexchange.com/questions/48214/replicating-shalizis-new-york-times-pca-example?rq=1

Projection, rejection, PCA:

• https://stackoverflow.com/questions/52288029/function-that-computes-projection-and-recostruction-error-using-numpy-python/52290082#52290082

• http://www.cs.cmu.edu/~guestrin/Class/15781/slides/pca-mdps-annotated.pdf

• https://ocw.mit.edu/courses/mathematics/18-06sc-linear-algebra-fall-2011/least-squares-determinants-and-eigenvalues/projections-onto-subspaces/MIT18_06SCF11_Ses2.2sum.pdf