Eigenvalues and eigenvectorsIn linear algebra, an eigenvector (ˈaɪgənˌvɛktər) or characteristic vector of a linear transformation is a nonzero vector that changes at most by a constant factor when that linear transformation is applied to it. The corresponding eigenvalue, often represented by , is the multiplying factor. Geometrically, a transformation matrix rotates, stretches, or shears the vectors it acts upon. The eigenvectors for a linear transformation matrix are the set of vectors that are only stretched, with no rotation or shear.
Eigendecomposition of a matrixIn linear algebra, eigendecomposition is the factorization of a matrix into a canonical form, whereby the matrix is represented in terms of its eigenvalues and eigenvectors. Only diagonalizable matrices can be factorized in this way. When the matrix being factorized is a normal or real symmetric matrix, the decomposition is called "spectral decomposition", derived from the spectral theorem. Eigenvalue, eigenvector and eigenspace A (nonzero) vector v of dimension N is an eigenvector of a square N × N matrix A if it satisfies a linear equation of the form for some scalar λ.
Transformation matrixIn linear algebra, linear transformations can be represented by matrices. If is a linear transformation mapping to and is a column vector with entries, then for some matrix , called the transformation matrix of . Note that has rows and columns, whereas the transformation is from to . There are alternative expressions of transformation matrices involving row vectors that are preferred by some authors. Matrices allow arbitrary linear transformations to be displayed in a consistent format, suitable for computation.
Generalized eigenvectorIn linear algebra, a generalized eigenvector of an matrix is a vector which satisfies certain criteria which are more relaxed than those for an (ordinary) eigenvector. Let be an -dimensional vector space and let be the matrix representation of a linear map from to with respect to some ordered basis. There may not always exist a full set of linearly independent eigenvectors of that form a complete basis for . That is, the matrix may not be diagonalizable.
Covariance matrixIn probability theory and statistics, a covariance matrix (also known as auto-covariance matrix, dispersion matrix, variance matrix, or variance–covariance matrix) is a square matrix giving the covariance between each pair of elements of a given random vector. Any covariance matrix is symmetric and positive semi-definite and its main diagonal contains variances (i.e., the covariance of each element with itself). Intuitively, the covariance matrix generalizes the notion of variance to multiple dimensions.
Product ruleIn calculus, the product rule (or Leibniz rule or Leibniz product rule) is a formula used to find the derivatives of products of two or more functions. For two functions, it may be stated in Lagrange's notation as or in Leibniz's notation as The rule may be extended or generalized to products of three or more functions, to a rule for higher-order derivatives of a product, and to other contexts. Discovery of this rule is credited to Gottfried Leibniz, who demonstrated it using differentials. (However, J. M.
CovarianceIn probability theory and statistics, covariance is a measure of the joint variability of two random variables. If the greater values of one variable mainly correspond with the greater values of the other variable, and the same holds for the lesser values (that is, the variables tend to show similar behavior), the covariance is positive. In the opposite case, when the greater values of one variable mainly correspond to the lesser values of the other, (that is, the variables tend to show opposite behavior), the covariance is negative.
Defective matrixIn linear algebra, a defective matrix is a square matrix that does not have a complete basis of eigenvectors, and is therefore not diagonalizable. In particular, an n × n matrix is defective if and only if it does not have n linearly independent eigenvectors. A complete basis is formed by augmenting the eigenvectors with generalized eigenvectors, which are necessary for solving defective systems of ordinary differential equations and other problems.
Affine transformationIn Euclidean geometry, an affine transformation or affinity (from the Latin, affinis, "connected with") is a geometric transformation that preserves lines and parallelism, but not necessarily Euclidean distances and angles. More generally, an affine transformation is an automorphism of an affine space (Euclidean spaces are specific affine spaces), that is, a function which maps an affine space onto itself while preserving both the dimension of any affine subspaces (meaning that it sends points to points, lines to lines, planes to planes, and so on) and the ratios of the lengths of parallel line segments.
Linear mapIn mathematics, and more specifically in linear algebra, a linear map (also called a linear mapping, linear transformation, vector space homomorphism, or in some contexts linear function) is a mapping between two vector spaces that preserves the operations of vector addition and scalar multiplication. The same names and the same definition are also used for the more general case of modules over a ring; see Module homomorphism. If a linear map is a bijection then it is called a .
Quotient ruleIn calculus, the quotient rule is a method of finding the derivative of a function that is the ratio of two differentiable functions. Let , where both f and g are differentiable and The quotient rule states that the derivative of h(x) is It is provable in many ways by using other derivative rules. Given , let , then using the quotient rule: The quotient rule can be used to find the derivative of as follows: Reciprocal rule The reciprocal rule is a special case of the quotient rule in which the numerator .
Sample mean and covarianceThe sample mean (sample average) or empirical mean (empirical average), and the sample covariance or empirical covariance are statistics computed from a sample of data on one or more random variables. The sample mean is the average value (or mean value) of a sample of numbers taken from a larger population of numbers, where "population" indicates not number of people but the entirety of relevant data, whether collected or not. A sample of 40 companies' sales from the Fortune 500 might be used for convenience instead of looking at the population, all 500 companies' sales.
VarianceIn probability theory and statistics, variance is the squared deviation from the mean of a random variable. The variance is also often defined as the square of the standard deviation. Variance is a measure of dispersion, meaning it is a measure of how far a set of numbers is spread out from their average value. It is the second central moment of a distribution, and the covariance of the random variable with itself, and it is often represented by , , , , or .
Cross-covariance matrixIn probability theory and statistics, a cross-covariance matrix is a matrix whose element in the i, j position is the covariance between the i-th element of a random vector and j-th element of another random vector. A random vector is a random variable with multiple dimensions. Each element of the vector is a scalar random variable. Each element has either a finite number of observed empirical values or a finite or infinite number of potential values. The potential values are specified by a theoretical joint probability distribution.
Eigenvalue algorithmIn numerical analysis, one of the most important problems is designing efficient and stable algorithms for finding the eigenvalues of a matrix. These eigenvalue algorithms may also find eigenvectors. Eigenvalues and eigenvectors and Generalized eigenvector Given an n × n square matrix A of real or complex numbers, an eigenvalue λ and its associated generalized eigenvector v are a pair obeying the relation where v is a nonzero n × 1 column vector, I is the n × n identity matrix, k is a positive integer, and both λ and v are allowed to be complex even when A is real.
Chain ruleIn calculus, the chain rule is a formula that expresses the derivative of the composition of two differentiable functions f and g in terms of the derivatives of f and g. More precisely, if is the function such that for every x, then the chain rule is, in Lagrange's notation, or, equivalently, The chain rule may also be expressed in Leibniz's notation. If a variable z depends on the variable y, which itself depends on the variable x (that is, y and z are dependent variables), then z depends on x as well, via the intermediate variable y.
Linear algebraLinear algebra is the branch of mathematics concerning linear equations such as: linear maps such as: and their representations in vector spaces and through matrices. Linear algebra is central to almost all areas of mathematics. For instance, linear algebra is fundamental in modern presentations of geometry, including for defining basic objects such as lines, planes and rotations. Also, functional analysis, a branch of mathematical analysis, may be viewed as the application of linear algebra to spaces of functions.
Principal component analysisPrincipal component analysis (PCA) is a popular technique for analyzing large datasets containing a high number of dimensions/features per observation, increasing the interpretability of data while preserving the maximum amount of information, and enabling the visualization of multidimensional data. Formally, PCA is a statistical technique for reducing the dimensionality of a dataset. This is accomplished by linearly transforming the data into a new coordinate system where (most of) the variation in the data can be described with fewer dimensions than the initial data.
Estimation of covariance matricesIn statistics, sometimes the covariance matrix of a multivariate random variable is not known but has to be estimated. Estimation of covariance matrices then deals with the question of how to approximate the actual covariance matrix on the basis of a sample from the multivariate distribution. Simple cases, where observations are complete, can be dealt with by using the sample covariance matrix.
General linear groupIn mathematics, the general linear group of degree n is the set of n×n invertible matrices, together with the operation of ordinary matrix multiplication. This forms a group, because the product of two invertible matrices is again invertible, and the inverse of an invertible matrix is invertible, with identity matrix as the identity element of the group. The group is so named because the columns (and also the rows) of an invertible matrix are linearly independent, hence the vectors/points they define are in general linear position, and matrices in the general linear group take points in general linear position to points in general linear position.
