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We propose a new data-driven method to select the optimal number of relevant components in Principal Component Analysis (PCA). This new method applies to correlation matrices whose time autocorrelation function decays more slowly than an…

统计金融 · 定量金融 2019-10-07 Anshul Verma , Pierpaolo Vivo , Tiziana Di Matteo

Robust principal component analysis (RPCA) is a widely used technique for recovering low-rank structure from matrices with missing entries and sparse, possibly large-magnitude corruptions. Although numerous algorithms achieve accurate point…

统计方法学 · 统计学 2026-03-17 Liangliang Yuan , Lei Wang , Quan Kong , Liuhua Peng

Complexity is often exhibited in dynamical systems, where certain parameters evolve with time in a strange and chaotic nature. These systems lack predictability and are common in the physical world. Dissipative systems are one of such…

Principal Component Analysis (PCA) is a fundamental data preprocessing tool in the world of machine learning. While PCA is often thought of as a dimensionality reduction method, the purpose of PCA is actually two-fold: dimension reduction…

机器学习 · 计算机科学 2023-01-25 Arpita Gang , Waheed U. Bajwa

Data analysis often requires methods that are invariant with respect to specific transformations, such as rotations in case of images or shifts in case of images and time series. While principal component analysis (PCA) is a widely-used…

机器学习 · 统计学 2024-01-30 Florian Heinrichs

Principal components analysis (PCA) is a classical method for the reduction of dimensionality of data in the form of n observations (or cases) of a vector with p variables. For a simple model of factor analysis type, it is proved that…

统计理论 · 数学 2009-01-29 Iain M Johnstone , Arthur Yu Lu

Principal component analysis (PCA) is a most frequently used statistical tool in almost all branches of data science. However, like many other statistical tools, there is sometimes the risk of misuse or even abuse. In this paper, we…

统计方法学 · 统计学 2021-08-12 Xinyu Zhang , Howell Tong

Principal components analysis (PCA) is a well-known technique for approximating a tabular data set by a low rank matrix. Here, we extend the idea of PCA to handle arbitrary data sets consisting of numerical, Boolean, categorical, ordinal,…

机器学习 · 统计学 2015-05-06 Madeleine Udell , Corinne Horn , Reza Zadeh , Stephen Boyd

Recently popularized randomized methods for principal component analysis (PCA) efficiently and reliably produce nearly optimal accuracy --- even on parallel processors --- unlike the classical (deterministic) alternatives. We adapt one of…

统计计算 · 统计学 2011-12-23 Nathan Halko , Per-Gunnar Martinsson , Yoel Shkolnisky , Mark Tygert

Model-independent analysis (MIA) methods are generally useful for analysing complex systems in which relationships between the observables are non-trivial and noise is present. Principle Component Analysis (PCA) is one of MIA methods…

加速器物理 · 物理学 2015-06-17 Y. I. Kim , S. T. Boogert , Y. Honda , A. Lyapin , H. Park , N. Terunuma , T. Tauchi , J. Urakawa

Principal component analysis (PCA) is a standard tool for dimensional reduction of a set of $n$ observations (samples), each with $p$ variables. In this paper, using a matrix perturbation approach, we study the nonasymptotic relation…

统计理论 · 数学 2009-01-22 Boaz Nadler

This paper examines several applications of principal component analysis (PCA) to physical systems. The first of these demonstrates that the principal components in a basis of appropriate system variables can be employed to identify…

数据分析、统计与概率 · 物理学 2021-02-24 David Yevick

Principal component analysis (PCA) for binary data, known as logistic PCA, has become a popular alternative to dimensionality reduction of binary data. It is motivated as an extension of ordinary PCA by means of a matrix factorization, akin…

机器学习 · 统计学 2020-09-08 Andrew J. Landgraf , Yoonkyung Lee

Principal component analysis (PCA) is a widely used dimension reduction tool in the analysis of many kind of high-dimensional data. It is used in signal processing, mechanical engineering, psychometrics, and other fields under different…

统计方法学 · 统计学 2014-01-15 Ngoc Mai Tran , Maria Osipenko , Wolfgang Karl Haerdle

Principal component analysis (PCA) requires the computation of a low-rank approximation to a matrix containing the data being analyzed. In many applications of PCA, the best possible accuracy of any rank-deficient approximation is at most a…

统计计算 · 统计学 2010-06-04 Vladimir Rokhlin , Arthur Szlam , Mark Tygert

Sparse principal component analysis (sparse PCA) is a widely used technique for dimensionality reduction in multivariate analysis, addressing two key limitations of standard PCA. First, sparse PCA can be implemented in high-dimensional low…

统计方法学 · 统计学 2025-10-07 Jan O. Bauer

Principal component analysis (PCA) is recognised as a quintessential data analysis technique when it comes to describing linear relationships between the features of a dataset. However, the well-known sensitivity of PCA to non-Gaussian…

机器学习 · 统计学 2019-10-28 Jean P. Chereau , Bruno Scalzo Dees , Danilo P. Mandic

To do dimensionality reduction on the datasets with outliers, the $\ell_1$-norm principal component analysis (L1-PCA) as a typical robust alternative of the conventional PCA has enjoyed great popularity over the past years. In this work, we…

最优化与控制 · 数学 2022-10-27 Taoli Zheng , Peng Wang , Anthony Man-Cho So

Principal component analysis (PCA) is by far the most widespread tool for unsupervised learning with high-dimensional data sets. Its application is popularly studied for the purpose of exploratory data analysis and online process…

应用统计 · 统计学 2019-02-12 Stefania Russo , Guangyu Li , Kris Villez

Principal Component Analysis (PCA) is the workhorse tool for dimensionality reduction in this era of big data. While often overlooked, the purpose of PCA is not only to reduce data dimensionality, but also to yield features that are…

机器学习 · 计算机科学 2021-11-30 Arpita Gang , Waheed U. Bajwa