Eigen & SSCP: Project

A command to project the SSCP object onto the eigenspace of the Eigen object.

Behaviour

Transform the SSCP object as if it was calculated in a coordinate system given by the eigenvectors of the Eigen object. This can be done as follows:

St = ES E, where

where E′ is the transpose of the matrix with eigenvectors E, S is the square matrix with sums of squares and crossproducts, and St the newly created square matrix. The dimension of St may be smaller than the dimension of S.

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© djmw, March 28, 2002