4 ms·
With mean corrected observations as rows of a data matrix X, the sample covariance matrix is given by X'X not XX'. Also (X'X)g = lg (XX')Xg = lXg So with n>
by conjectures 13y ago
With mean corrected observations as rows of a data matrix X, the sample covariance matrix is given by X'X not XX'.
Also
(X'X)g = lg
(XX')Xg = lXg
So with n>>p and n large, you may be able to fit X'X (p^2 entries) but not XX' (n^2 entries) in memory (and get the same eigenvalues and related eigenvectors).