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Principal Loading Analysis

07/10/2020

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by Jan O. Bauer, et al.

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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.

Jan O. Bauer
4 publications
Bernhard Drabant
1 publication

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