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Correlation Based Principal Loading Analysis (2102.09912v1)
Published 19 Feb 2021 in stat.ME, math.ST, and stat.TH
Abstract: Principal loading analysis is a dimension reduction method that discards variables which have only a small distorting effect on the covariance matrix. We complement principal loading analysis and propose to rather use a mix of both, the correlation and covariance matrix instead. Further, we suggest to use rescaled eigenvectors and provide updated algorithms for all proposed changes.
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