On 9-Jun-09, at 3:54 AM, David Cournapeau wrote:
> For example, what ML people call PCA is called Karhunen Loéve in
> signal
> processing, and the concepts are quite similar.
Yup. This seems to be a nice set of review notes:
http://www.ece.rutgers.edu/~orfanidi/ece525/svd.pdf
And going further than just PCA/KLT, tying it together with maximum
likelihood factor analysis/linear dynamical systems/hidden Markov
models,
http://www.cs.toronto.edu/~roweis/papers/NC110201.pdf
David
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