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 minimization, the inversion of the matrices in these formulas is done so that negative eigenvalues are considered zero, resulting always in a positive semidefinite covariance matrix. In small ...

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 ...