> Eigendecomposition of the covariance matrix, essentially PCA, is probably the first non-trivial step in the analysis of any dataset
For a sufficiently narrow definition of "dataset", perhaps. I don't think it's the obvious step one when you want to start understanding a time series dataset, for example. (Fourier transform would be a more likely step two, after step one of actually look at some of your data.)
For a sufficiently narrow definition of "dataset", perhaps. I don't think it's the obvious step one when you want to start understanding a time series dataset, for example. (Fourier transform would be a more likely step two, after step one of actually look at some of your data.)