JMP 13 Multivariate Methods, Second Edition, 2nd Edition

Wide Linear Methods and the Singular Value Decomposition

Wide Linear methods in the Cluster, Principal Components, and Discriminant platforms enable you to analyze data sets with thousands (or even millions) of variables. Most multivariate techniques require the calculation or inversion of a covariance matrix. When your multivariate analysis involves a large number of variables, the covariance matrix can be prohibitively large so that calculating it or inverting it is problematic and computationally expensive.

Suppose that your data consist of n rows and p columns. The rank of the covariance matrix is at most the smaller of n and p. In wide data sets, p is often much larger than n. In these cases, the inverse of the covariance matrix has at ...