Automatic Estimation of Number of Principal Components in PCA

Automatic estimation of number of principal components in PCA with PEnalized SEmi-integrated Likelihood (PESEL). See Piotr Sobczyk, Malgorzata Bogdan, Julie Josse "Bayesian dimensionality reduction with PCA using penalized semi-integrated likelihood" (2017) .

README

What is this repository for?

Package pesel

• is R package for estimating number of relevant principal components in PCA
• provides posterior distribution on number of components
• works well with number of variables larger, than the number of observations

How do I get set up?

• Install pesel package using devtools package

install_github("psobczyk/pesel")

• No additional configuration is needed
• Read vignette to get familiar with basic usage

Who do I talk to?

• If help provided in the package documentation does not solve your problem please contact Piotr.Sobczyk[at]pwr.edu.pl

This project has received funding from the European Union’s Seventh Framework Programme for research, technological development and demonstration under grant agreement no 602552.