Question 66
Suppose singular values of a centered data matrix X (size 101 x 5) are $\sigma = [20, 10, 0, 0, 0]$. Given $N = 101 samples, what$ is the largest eigenvalue lambda_1 of the sample covariance matrix $X^{T}$ X / (N - 1)?
$lambda_1 = sigma_1^2 / (N - 1) = 20^2 / (101 - 1) = 400 / 100 = 4.$