Detecting the dimensionality for principal components model

DOI10.1080/03610911003778127MaRDI QIDQ3589989zbMATH OpenOpenAlexFDO

Authors Liuxia Wang, Yulin Li

Publication date 17 September 2010

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610911003778127

zbMATH Keywords

dimension reductionsingular value decompositionECM algorithmadaptive LASSOprobabilistic PCA

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cites work

• scientific article; zbMATH DE number 4020230 (Why is no real title available?)
• Analysis of Financial Time Series
• Choosing Principal Components: A New Graphical Method Based on Bayesian Model Selection
• Covariance matrix selection and estimation via penalised normal likelihood
• Inferring the eigenvalues of covariance matrices from limited, noisy data
• Maximum likelihood estimation via the ECM algorithm: A general framework
• Objective Bayesian Variable Selection
• Probabilistic Principal Component Analysis
• Sparse estimation of large covariance matrices via a nested Lasso penalty
• The Adaptive Lasso and Its Oracle Properties
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

Cited in

(9)

• Predictive power of principal components for single-index model and sufficient dimension reduction
• Searching for the core variables in principal components analysis
• Dimension reduction via principal variables
• Bayesian principal component regression with data-driven component selection
• On the number of principal components: a test of dimensionality based on measurements of similarity between matrices
• Testing significance of features by lassoed principal components
• Dimension Selection for Feature Selection and Dimension Reduction with Principal and Independent Component Analysis
• Principal component selection via adaptive regularization method and generalized information criterion
• Stability approach to selecting the number of principal components

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Uses Software

• FinTS

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