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Abstract Details
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Activity Number:
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477
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Type:
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Contributed
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Date/Time:
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Wednesday, August 3, 2011 : 8:30 AM to 10:20 AM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #302088 |
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Title:
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Sparse Variable PCA with a Vector L_O Penalty
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Author(s):
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Victor Solo*+
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Companies:
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University of New South Wales
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Address:
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, Sydney, International, 2073, Australia
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Keywords:
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sparse PCA ;
l_o ;
penalised likelihood
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Abstract:
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By penalising a PCA based likelihood with a novel vector l_o penalty we develop a procedure called sparse variable PCA that first removes a large number of variables and then does a PCA of the remaining variables. We illustrate the procedure with a neuroimaging example although we offer comments on the application to dynamic factor modeling.
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Authors who are presenting talks have a * after their name.
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