Multi-Rank Sparse and Functional PCA: Manifold Optimization and Iterative Deflation Techniques

28 Jul 2019Michael Weylandt

We consider the problem of estimating multiple principal components using the recently-proposed Sparse and Functional Principal Components Analysis (SFPCA) estimator. We first propose an extension of SFPCA which estimates several principal components simultaneously using manifold optimization techniques to enforce orthogonality constraints... (read more)

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