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Yeah PCA will give you eigenvalues of the PCs in descending order of variance explained so just summing and weighting those tells you the first 3 PCs explain sa
by alexcnwy 9y ago
Yeah PCA will give you eigenvalues of the PCs in descending order of variance explained so just summing and weighting those tells you the first 3 PCs explain say 93% of the variance in the data.
- Houshalter 9y agoBut the question is when exactly to stop, because the reconstruction error is always going to get lower. The bayesian solution, IIUC, is something like "stop when information required to store the new PCs is more than the information gained from the reduced reconstruction error." The only issue with this is, if you get tons of data then there will be less uncertainty in the principal components. And so it will recommend as many as possible, even if they only decrease the reconstruction error a tiny bit.