1. Method of compressing signals generated from and representing an image or speech on the basis of a Principal Component Transform, comprising: determining an approximation of a statistically most significant eigenvector of a covariance matrix associated with signal data generated from and representing an image or speech represented in a vector space, taking an initial vector in said vector space as a first estimate; for each next estimate determining a linear combination of the preceding estimate and a next vector in said vector space, said next vector being weighted with a factor that depends on an inproduct of the preceding estimate and said next vector for enhancing the next estimate into a direction of the preceding estimate, upon termination of determining next estimates taking said approximation parallel to the last obtained estimate, to produce a compressed signal representing the same image or speech.