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

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)