协方差矩阵性质 covariance matrix

ref:

eigen vector

http://www.quora.com/What-is-an-eigenvector-of-a-covariance-matrix

geometric interpretation

http://www.visiondummy.com/2014/04/geometric-interpretation-covariance-matrix/

It is positive semi definite

http://math.stackexchange.com/questions/114072/what-is-the-proof-that-covariance-matrices-are-always-semi-definite

https://shiyuzhao.wordpress.com/2011/08/30/why-covariance-matrix-is-positive-semi-definite/

real sysmetric matrix

has orthogonal eigen vectors

PCA

好网站

http://www.visiondummy.com/