Selecting the number of components in principal component analysis using cross-validation approximations
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References listed on IDEAS
- Chunlei Ke & Yuedong Wang, 2004. "Smoothing Spline Nonlinear Nonparametric Regression Models," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 1166-1175, December.
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- Fornaro, Paolo, 2016. "Predicting Finnish economic activity using firm-level data," International Journal of Forecasting, Elsevier, vol. 32(1), pages 10-19.
- repec:eee:insuma:v:75:y:2017:i:c:p:151-165 is not listed on IDEAS
- Bada, Oualid & Kneip, Alois, 2014. "Parameter cascading for panel models with unknown number of unobserved factors: An application to the credit spread puzzle," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 95-115.
More about this item
KeywordsPCA; Number of components; Cross-validation; Smoothing matrix; Generalized cross-validation;
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