Principal loading analysis

DOI10.1016/J.JMVA.2021.104754MaRDI QIDQ82192zbMATH OpenOpenAlexFDO

Authors Jan O. Bauer, Bernhard Drabant

Publication date July 2021

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2007.05215

zbMATH Keywords

component loadingdimensionality reductionmatrix perturbation theoryprincipal component analysis

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Inequalities involving eigenvalues and eigenvectors (15A42) Factor analysis and principal components; correspondence analysis (62H25) Analysis of variance and covariance (ANOVA) (62J10) Numerical computation of eigenvalues and eigenvectors of matrices (65F15)

Abstract: This paper proposes a tool for dimension reduction where the dimension of the original space is reduced: a Principal Loading Analysis (PLA). PLA is a tool to reduce dimensions by discarding variables. The intuition is that variables are dropped which distort the covariance matrix only by a little. Our method is introduced and an algorithm for conducting PLA is provided. Further, we give bounds for the noise arising in the sample case.

Review text

Principal component analysis (PCA) is one of the most popular data mining techniques in multivariate analysis. The main contribution of this manuscript is a novel approach where dimension reduction employes selection of a subset from the observed variables based on non-impact in the eigenvectors.

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Cites work

• A useful variant of the Davis-Kahan theorem for statisticians
• Asymptotic theory for the principal component analysis of a vector random function: Some applications to statistical inference
• Asymptotics of eigenvalues and unit-length eigenvectors of sample variance and correlation matrices
• How many principal components? Stopping rules for determining the number of non-trivial axes revisited
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• Principal component analysis: a review and recent developments
• The asymptotic variance matrix of the sample correlation matrix
• Variable selection in regression models using principal components

Cited in

(14)

• A note on principal component analysis for multi-dimensional data
• A 50-year personal journey through time with principal component analysis
• Regression based thresholds in principal loading analysis
• Principal component analysis of coal spontaneous combustion application
• Advances in principal component analysis. Research and development
• The dimension reduction method based on data transformations
• Reduced principal component analysis
• A principal component analysis of multivariate data on inflation for Nigeria
• scientific article; zbMATH DE number 2232705 (Why is no real title available?)
• High-Dimensional Block Diagonal Covariance Structure Detection Using Singular Vectors
• Beyond regularization: inherently sparse principal component analysis
• prinvars
• PRIM analysis
• PCA and SVD with nonnegative loadings

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