If you do not specify the COVSING= option, the nr smallest eigenvalues are set to zero, where nr is the number of rank deficiencies found in the first step. For optimization techniques that do not use ...

For a covariance or correlation matrix, the sum of its eigenvalues equals the trace of the matrix, that is, the sum of the variances of the n y variables for a covariance matrix, and n y for a ...

Solving for the covariance matrix gives a list of eigenvalues and eigenvectors—the leading eigenvectors represent directions of maximum variability, and associated eigenvalues represent the ...