Alternative penalty functions for penalized likelihood principal components

Research output: Contribution to journalArticle

Abstract

The penalized likelihood principal component method of Park (2005) offers flexibility in the choice of the penalty function. This flexibility allows the method to be tailored to enhance interpretation in special cases. Of particular interest is a penalty function in the style of the Lasso that can be used to produce exactly zero loadings. Also of interest is a penalty function for cases in which interpretability is best represented by alignment with orthogonal subspaces, rather than with axis directions. In each case, a data example is presented.

Original languageEnglish (US)
Pages (from-to)767-777
Number of pages11
JournalJournal of Applied Statistics
Volume34
Issue number7
DOIs
StatePublished - Sep 1 2007
Externally publishedYes

Keywords

  • Interpretation
  • Lasso penalty
  • Multivariate exploratory analysis
  • Principal component rotation
  • Varimax

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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