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sparsepca (version 0.1.2)

Sparse Principal Component Analysis (SPCA)

Description

Sparse principal component analysis (SPCA) attempts to find sparse weight vectors (loadings), i.e., a weight vector with only a few 'active' (nonzero) values. This approach provides better interpretability for the principal components in high-dimensional data settings. This is, because the principal components are formed as a linear combination of only a few of the original variables. This package provides efficient routines to compute SPCA. Specifically, a variable projection solver is used to compute the sparse solution. In addition, a fast randomized accelerated SPCA routine and a robust SPCA routine is provided. Robust SPCA allows to capture grossly corrupted entries in the data. The methods are discussed in detail by N. Benjamin Erichson et al. (2018) .

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install.packages('sparsepca')

Monthly Downloads

1,701

Version

0.1.2

License

GPL (>= 3)

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Maintainer

N. Benjamin Erichson

Last Published

April 11th, 2018

Functions in sparsepca (0.1.2)

rspca

Randomized Sparse Principal Component Analysis (rspca).
robspca

Robust Sparse Principal Component Analysis (robspca).
spca

Sparse Principal Component Analysis (spca).