Generalized Principal Component Analysis
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Publication:136111
DOI10.48550/ARXIV.1907.02647arXiv1907.02647MaRDI QIDQ136111FDOQ136111
Publication date: 3 July 2019
Abstract: Generalized principal component analysis (GLM-PCA) facilitates dimension reduction of non-normally distributed data. We provide a detailed derivation of GLM-PCA with a focus on optimization. We also demonstrate how to incorporate covariates, and suggest post-processing transformations to improve interpretability of latent factors.
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