特征空间的转换(从高维到低维)
符号约定
X = ( x 1 , x 2 , . . . , x N ) T = ( x 1 T x 2 T . . . x N T ) = ( x 11 x 12 ⋯ x 1 p x 21 ⋯ ⋯ x 2 p ⋮ ⋱ x N 1 ⋯ ⋯ x N p ) N × p X=(x_1,x_2,...,x_N)^T=\begin{pmatrix}x_1^T\\x_2^T\\...\\x_N^T\end{pmatrix} =\begin{pmatrix} x_{11} & x_{12} & \cdots & x_{1p}\\ x_{21} & \cdots & \cdots & x_{2p}\\ \vdots & \ddots\\ x_{N1} & \cdots & \cdots & x_{Np} \end{pmatrix}_{N\times p} X=(x1,x2,...,xN)T=⎝⎜⎜⎛x1Tx2T...xNT⎠⎟⎟⎞=⎝⎜⎜⎜⎛x11x21⋮xN1x12⋯⋱⋯⋯⋯⋯x1px2pxNp⎠⎟⎟⎟⎞N×p
- 样本均值: X ˉ = 1 N X T 1 \bar{X}=\frac{1}{N}X^T1 Xˉ=N1XT1
- 样本方差: S = 1 N X T H X S=\frac{1}{N}X^THX S=N1XTHX, H = I N × N − 1 N 1 1 T H=I_{N\times N}-\frac{1}{N}11^T H=IN×N−N111T