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...

Full description

Saved in:
Bibliographic Details
Main Authors: HUANG, Dashan, JIANG, Fuwei, LI, Kunpeng, TONG, Guoshi, ZHOU, Guofu
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2022
Subjects:
PCA
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
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English
Be the first to leave a comment!
You must be logged in first