covariance of matrix using svd

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covariance of matrix using svd

Postby shunyo » Sun Oct 28, 2012 1:22 am

I have used the dgesvd routine in CLAPACK to calculate the best-fit plane parameters for a point-cloud. The input matrix M is the Nx4 matrix containing the data points and the last column of ones. I am doing the SVD of the matrix M to find the singular vectors U and V as M = USV'. From there. I am finding the singular vector corresponding to the smallest singular values. Now I also want to find the covariance of the best-fit plane from the U,S and V matrices found. Is there any easy method to do so?
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