How do you interpret Eigen value? Can we say it describes the variance or is it the percentage that describes the variance?

Question

anonymous · Answer

eigen values are discussed in linear algebra, so this is a statistical application of eigenvalues?

anonymous · Answer

yes.

anonymous · Answer

I found this online. http://stats.stackexchange.com/questions/22569/pca-and-proportion-of-variance-explained?rq=1

anonymous · Answer

hope it helps

anonymous · Answer

Thanks

kainui · Answer

I know exactly what an eigenvalue is in linear algebra and I know exactly what variance is in probability distribution, but I don't know how they're combined, but I might be able to help you figure it out if you give an example.

kainui · Answer

Is what you're talking about represented by a matrix with normalized columns or are we talking about a quadratic form represented by a symmetric matrix?