Bayesian principal component regression with data-driven component selection

DOI10.1080/02664763.2011.644524OpenAlexW2089904261MaRDI QIDQ5127030

Liuxia Wang

Publication date: 21 October 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2011.644524

zbMATH Keywords

dimensionality reductioncollinearityprobabilistic principal component analysisdynamic variable selection

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (3)

Application of ridge regression and factor analysis in design and production of alloy wheels ⋮ Spatially Dependent Multiple Testing Under Model Misspecification, With Application to Detection of Anthropogenic Influence on Extreme Climate Events ⋮ An automatic robust Bayesian approach to principal component regression

Uses Software

• pls
• mctoolbox

Cites Work

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• Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?
• Detecting the Dimensionality for Principal Components Model
• Cross-Validatory Estimation of the Number of Components in Factor and Principal Components Models
• Probabilistic Principal Component Analysis
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Accuracy and Stability of Numerical Algorithms
• Prediction by Supervised Principal Components
• Objective Bayesian Variable Selection

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