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3269数学中等derivationmedium

One-PC Reconstruction of a Two-Asset Move

题目

Let \Sigma=egin{pmatrix}9&-3\-3&9\end{pmatrix}, whose first principal direction is along (1,−1)(1,-1). For the observed move x=(2,−1)x=(2,-1), what are the rank-1 reconstruction using only the first principal component and the residual?

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