MML Probabilistic Principal Component Analysis

09/29/2022
by   Enes Makalic, et al.
0

Principal component analysis (PCA) is perhaps the most widely method for data dimensionality reduction. A key question in PCA decomposition of data is deciding how many factors to retain. This manuscript describes a new approach to automatically selecting the number of principal compoents based on the Bayesian minimum message length method of inductive inference. We also derive a new estimate of the isotropic residual variance and demonstrate, via numerical experiments, that it improves on the usual maximum likelihood approach.

READ FULL TEXT

Please sign up or login with your details

Forgot password? Click here to reset