Correlation Based Principal Loading Analysis
Methodology
2021-02-22 v1 Statistics Theory
Statistics Theory
Abstract
Principal loading analysis is a dimension reduction method that discards variables which have only a small distorting effect on the covariance matrix. We complement principal loading analysis and propose to rather use a mix of both, the correlation and covariance matrix instead. Further, we suggest to use rescaled eigenvectors and provide updated algorithms for all proposed changes.
Cite
@article{arxiv.2102.09912,
title = {Correlation Based Principal Loading Analysis},
author = {Jan O. Bauer},
journal= {arXiv preprint arXiv:2102.09912},
year = {2021}
}