Created
October 7, 2019 19:03
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| # Perform SVD | |
| mySVD <- svd(mat) | |
| mySVD # the diagonal of Sigma mySVD$d is given as a vector | |
| sigma <- matrix(0,4,4) # we have 4 PCs, no need for a 5th column | |
| diag(sigma) <- mySVD$d # sigma is now our true sigma matrix |
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