Projection Matrices, Generalized Inverse Matrices, and Singular Value Decomposition(Yanai et al.)

series:Statistics for Social and Behavioral Sciences

Aside from distribution theory, projections and the singular value decomposition (SVD) are the two most important concepts for understanding the basic mechanism of multivariate analysis. The former underlies the least squares estimation in regression analysis, which is essentially a projection of one subspace onto another, and the latter underlies principal component analysis, which seeks to …