RCCM : Retained Component Criterion for the Moving Dynamic Principal Component Analysis

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Alshammri, Fayed Awdah M (2020) RCCM : Retained Component Criterion for the Moving Dynamic Principal Component Analysis. University of Strathclyde, Glasgow.

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Abstract

The RCC_MDPCA criterion is a new tool to determine the optimal number of components (i.e. MDPCs) to retain for the Moving Dynamic Principal Component Analysis (MDPCA). This criterion balances between the following two desires, reducing the dimension of the data and increasing the accuracy of the final results of MDPCA; See Alshammri and Pan (2019). Notice that the following libraries are needed to be installed before using the mcov function: library(roll); library(MDPCA)

  • Item type:Other
    ID code:71852
    Dates:
    Date
    Event
    10 March 2020
    Published
    Notes:Alshammri, F. (2020). RCCM: Retained Component Criterion for the Moving Dynamic Principal Component Analysis. R package version 0.1.0.
    Subjects:Science > Mathematics > Computer software
    Department:Faculty of Science > Mathematics and Statistics
    Depositing user: Pure Administrator
    Date deposited:24 Mar 2020 10:20
    Last modified:12 Nov 2024 01:05
    URI:https://strathprints.strath.ac.uk/id/eprint/71852
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