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DISCARDING VARIABLES in PRINCIPAL COMPONENT ANALYSIS : ALGORITHMS for ALL-SUBSETS COMPARISONS

Author

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  • A. Pedro Duarte Silva

    () (Faculdade de Economia e Gestão, Universidade Católica Portuguesa - Porto)

Abstract

The traditional approach to the interpretation of the results from a Principal Component Analysis implicitly discards variables that are weakly correlated with the most important and/or most interesting Principal Components. Some authors argue that this practice is potentially misleading and that it would be preferable to take a variable selection approach comparing variable subsets according to appropriate approximation criteria. In this paper, we propose algorithms for the comparison of all possible subsets according to some of the most important criteria proposed to date. The computational effort of the proposed algorithms is studied and it is shown that, given current computer technology, they are feasible for problems involving up to 30 variables. A software implementation is freely available on the internet.

Suggested Citation

  • A. Pedro Duarte Silva, 2000. "DISCARDING VARIABLES in PRINCIPAL COMPONENT ANALYSIS : ALGORITHMS for ALL-SUBSETS COMPARISONS," Working Papers de Economia (Economics Working Papers) 02, Católica Porto Business School, Universidade Católica Portuguesa.
  • Handle: RePEc:cap:wpaper:022000
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    Citations

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    Cited by:

    1. Michael Brusco & Renu Singh & Douglas Steinley, 2009. "Variable Neighborhood Search Heuristics for Selecting a Subset of Variables in Principal Component Analysis," Psychometrika, Springer;The Psychometric Society, vol. 74(4), pages 705-726, December.
    2. Pacheco, Joaquín & Casado, Silvia & Porras, Santiago, 2013. "Exact methods for variable selection in principal component analysis: Guide functions and pre-selection," Computational Statistics & Data Analysis, Elsevier, vol. 57(1), pages 95-111.

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