Sparse principal component regression with adaptive loading
Abstract
Principal component regression (PCR) is a two-stage procedure that selects some principal components and then constructs a regression model regarding them as new explanatory variables. Note that the principal components are obtained from only explanatory variables and not considered with the response variable. To address this problem, we propose the sparse principal component regression (SPCR) that is a one-stage procedure for PCR. SPCR enables us to adaptively obtain sparse principal component loadings that are related to the response variable and select the number of principal components simultaneously. SPCR can be obtained by the convex optimization problem for each of parameters with the coordinate descent algorithm. Monte Carlo simulations and real data analyses are performed to illustrate the effectiveness of SPCR.
Cite
@article{arxiv.1402.6455,
title = {Sparse principal component regression with adaptive loading},
author = {Shuichi Kawano and Hironori Fujisawa and Toyoyuki Takada and Toshihiko Shiroishi},
journal= {arXiv preprint arXiv:1402.6455},
year = {2015}
}
Comments
24 pages