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arXiv · 2007.05215

Principal Loading Analysis

Jan O. Bauer·Bernhard Drabant
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Abstract

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.

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Jan O. Bauer, Bernhard Drabant. 2020-07-10. Principal Loading Analysis. https://arxiv.org/abs/2007.05215

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