When implementing the robust PCA, should the resulting factor scores still be uncorrelated? Implementing the classical PCA code generates scores with a diagonal covariance matrix, where the diagonal elements are equal to the corresponding eigenvalues. However, when I implement the robust PCA, the covariance matrix for the scores is no longer diagonal, and the diagonal elements are no longer the corresponding eigenvalues. How can I use the robust PCA to generate uncorrelated factor scores?

Thanks for your help!