Principal loading analysis
Jan O. Bauer, Bernhard Drabant · Journal of Multivariate Analysis · 2021
This paper proposes a tool for dimension reduction where the dimension of the original space is reduced: the principal loading analysis. Principal loading analysis is a tool to reduce dimensions by discarding variables. The intuition is that variables are dropped which distort the covariance matrix only by a little. Our method is introduced and an algorithm for conducting principal loading analysis is provided. Further, we give bounds for the noise arising in the sample case.