Scaled PCA: A new approach to dimension reduction
This paper proposes a novel supervised learning technique for forecasting: scaled principal component analysis (sPCA). The sPCA improves the traditional principal component analysis (PCA) by scaling each predictor with its predictive slope on the target to be forecasted. Unlike the PCA that maximize...
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Main Authors: | , , , , |
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Format: | text |
Language: | English |
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Institutional Knowledge at Singapore Management University
2022
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Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/6924 https://ink.library.smu.edu.sg/context/lkcsb_research/article/7923/viewcontent/SSRN_id3358911.pdf |
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Institution: | Singapore Management University |
Language: | English |