Principal loading analysis

DOI10.1016/J.JMVA.2021.104754zbMATH Open1473.62201arXiv2007.05215OpenAlexW3137790022MaRDI QIDQ82192FDOQ82192

Bernhard Drabant, Jan O. Bauer, Jan O. Bauer, Bernhard Drabant

Publication date: July 2021

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

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.

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

Recommendations

• Regression based thresholds in principal loading analysis
• Principal Variables
• Reduced principal component analysis
• Principal component analysis in very high-dimensional spaces
• On consistency and sparsity for principal components analysis in high dimensions

zbMATH Keywords

principal component analysiscomponent loadingdimensionality reductionmatrix perturbation theory

Mathematics Subject Classification ID

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

Cites Work

• Principal component analysis.
• Asymptotics of eigenvalues and unit-length eigenvectors of sample variance and correlation matrices
• Principal component analysis: a review and recent developments
• Title not available (Why is that?)
• Variable selection in regression models using principal components
• A useful variant of the Davis–Kahan theorem for statisticians
• The asymptotic variance matrix of the sample correlation matrix
• Asymptotic theory for the principal component analysis of a vector random function: Some applications to statistical inference
• How many principal components? Stopping rules for determining the number of non-trivial axes revisited

Cited In (6)

• Regression based thresholds in principal loading analysis
• PRIM analysis
• Reduced principal component analysis
• A note on principal component analysis for multi-dimensional data
• Title not available (Why is that?)
• prinvars

This page was built for publication: Principal loading analysis

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q82192)