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Significance of the Eigenvalues of a covariance matrix

OhMyMarkov

Member
Mar 5, 2012
83
Hello everyone!

I'm curious to know what is the significance of the Eigenvalues of a covariance matrix. I'm not interested to find an answer in terms of PCA (as you of you may be familiar with the term). I'm thinking of a Gaussian vector, whose variance represent some notion of power or energy...

Again, I'm looking for the significance of looking at the Eigenvalues of a covariance matrix: a technical/intuition-based answer is fine by me :D