The expression comes from The Elements of Statistical Learningp66(3.49)
Related part about this is shown in below figure.
Where Using SVD, $X$ has the form: $X=UDV^T$. And $D$ is a diagonal matrix, with diagonal entries $d_1\geq d_2\geq…\geq d_p\geq0$
I don’t know why the variance has a $1/N$. How to conduct it?
I have look up for some material about PCA, but I don’t find the answer…Maybe a silly problem, but I still need your helpThank you!