Stability approach to selecting the number of principal components

Jiyeon Song, Seung Jun Shin

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

Principal component analysis (PCA) is a canonical tool that reduces data dimensionality by finding linear transformations that project the data into a lower dimensional subspace while preserving the variability of the data. Selecting the number of principal components (PC) is essential but challenging for PCA since it represents an unsupervised learning problem without a clear target label at the sample level. In this article, we propose a new method to determine the optimal number of PCs based on the stability of the space spanned by PCs. A series of analyses with both synthetic data and real data demonstrates the superior performance of the proposed method.

Original languageEnglish
Pages (from-to)1923-1938
Number of pages16
JournalComputational Statistics
Volume33
Issue number4
DOIs
Publication statusPublished - 2018 Dec 1

Keywords

  • Principal component analysis
  • Stability selection
  • Structural dimension
  • Subsampling

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Computational Mathematics

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