Using SVD to Get EOF&PC
q We can use Singular Value Decomposition (SVD) to get
EOFs, eigenvalues, and PC’s directly from the data matrix,
without the need to calculate the covariance matrix from
the data first.
q If the data set is relatively small, this may be easier than
computing the covariance matrices and doing the
eigenanalysis of them.
q If the sample size is large, it may be computationally more
efficient to use the eigenvalue method.