how to get data covariance matrix:
http://stattrek.com/matrix-algebra/covariance-matrix.aspx
meaning of eigen values of covariance matrix:
https://www.quora.com/What-is-an-eigenvector-of-a-covariance-matrix
how to get data covariance matrix:
http://stattrek.com/matrix-algebra/covariance-matrix.aspx
meaning of eigen values of covariance matrix:
https://www.quora.com/What-is-an-eigenvector-of-a-covariance-matrix
原文：https://www.cnblogs.com/hong2016/p/8404534.html