Bayesian Dimensionality Reduction With PCA Using Penalized Semi-Integrated Likelihood
Bayesian Dimensionality Reduction With PCA Using Penalized Semi-Integrated Likelihood
We discuss the problem of estimating the number of principal components in principal components analysis (PCA). Despite the importance of the problem and the multitude of solutions proposed in literature, it comes as a surprise that there does not exist a coherent asymptotic framework, which would justify different approaches depending …