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
https://shiyuzhao.wordpress.com/2011/08/30/why-covariance-matrix-is-positive-semi-definite/
real sysmetric matrix
has orthogonal eigen vectors