# Principal component analysis and variance normalization

I want to transform my data $X$ such that the variances will be one and the covariances will be zero. Furthermore the means should be zero.

I know I will get there by doing Z-standardization and PCA-transformation, but in which order should I do them?

I should add that the composed transformation should have the form $\mathbf{x} \mapsto W\mathbf{x} + \mathbf{b}$.

Is there a method similar to PCA which does exactly both these transformations and gives me a formula of the form above?

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(My first comment was based on misreading your question.) PCA gives you zero covariances; you can standardize the PCs afterwards if you wish. It sounds an odd thing to do, but you can do it. –  Nick Cox Apr 30 at 11:59
@NickCox Maybe it seems odd because the transformed data is then spherical, which seems uninformative. However, it is the transformation I need to know, and not the end result. Still I don't know what the transformation would look like. I'm still reading up on PCA, though. –  Angelorf Apr 30 at 12:24

First, you get the mean zero by subtracting the mean $\boldsymbol \mu = \frac{1}{N}\sum \mathbf{x}$.
Second, you get the covariances zero by doing PCA. If $\boldsymbol \Sigma$ is the covariance matrix of your data, then PCA amounts to performing an eigendecomposition $\boldsymbol \Sigma = \mathbf{U} \boldsymbol \Lambda \mathbf{U}^\top$, where $\mathbf{U}$ is an orthogonal rotation matrix composed of eigenvectors of $\boldsymbol \Sigma$, and $\boldsymbol \Lambda$ is a diagonal matrix with eigenvalues on the diagonal. Matrix $\mathbf{U}$ gives a rotation needed to whiten the data (remove correlations).
Third, after the rotation each component will have variance given by a corresponding eigenvalue. So to make variances equal to 1, you need to divide by the square root of $\boldsymbol \Lambda$.
All together, the transformation is $\mathbf{x} \mapsto \boldsymbol \Lambda^{-1/2} \mathbf{U} (\mathbf{x} - \boldsymbol \mu)$. You can open the brackets to get the form you are looking for.