Detecting the dimensionality for principal components model

DOI10.1080/03610911003778127zbMATH Open1195.62102OpenAlexW2080356920MaRDI QIDQ3589989FDOQ3589989

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

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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)

Cites Work

• Analysis of Financial Time Series
• The Adaptive Lasso and Its Oracle Properties
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Maximum likelihood estimation via the ECM algorithm: A general framework
• Sparse estimation of large covariance matrices via a nested Lasso penalty
• Probabilistic Principal Component Analysis
• Covariance matrix selection and estimation via penalised normal likelihood
• Objective Bayesian Variable Selection
• Title not available (Why is that?)
• Inferring the eigenvalues of covariance matrices from limited, noisy data
• Choosing Principal Components: A New Graphical Method Based on Bayesian Model Selection

Cited In (8)

• Predictive power of principal components for single-index model and sufficient dimension reduction
• On the number of principal components: a test of dimensionality based on measurements of similarity between matrices
• Searching for the core variables in principal components analysis
• Bayesian principal component regression with data-driven component selection
• Dimension reduction via principal variables
• 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

Uses Software

• FinTS

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