Description of principal component analysis with examples.
Slides: https://cds.nyu.edu/wp-content/uploads/2021/05/Principal-component-analysis.pdf
Notes: https://cds.nyu.edu/wp-content/uploads/2021/05/covariance_matrix.pdf (Section 2)
Code: https://github.com/cfgranda/math-tools-nyu/blob/main/01%20Covariance%20Matrix.ipynb
Course website: https://cds.nyu.edu/math-tools/
