Title :
Selecting the Number of Principal Components with SURE
Author :
Ulfarsson, Magnus Orn ; Solo, Victor
Author_Institution :
Dept. of Electr. & Comput. Eng., Univ. of Iceland, Reykjavik, Iceland
Abstract :
Principal component analysis (PCA) is one of the most widely used methods in multivariate signal processing. An important problem is to select the number of principal components (PCs). In this paper we develop an automatic method for selecting the number of PCs based on Stein´s unbiased risk estimator (SURE). In simulations the new method outperforms state of the art cross-validation methods.
Keywords :
principal component analysis; signal processing; PCA; SURE; Stein unbiased risk estimator; automatic selection method; cross-validation method; multivariate signal processing; principal component analysis; state of the art method; Eigenvalues and eigenfunctions; Loading; Principal component analysis; Signal to noise ratio; TV; Vectors; Cross-validation; Principal Component Analysis (PCA); Stein’s Unbiased Risk Estimator (SURE);
Journal_Title :
Signal Processing Letters, IEEE
DOI :
10.1109/LSP.2014.2337276
