[R] How to determine the number of dominant eigenvalues in PCA
Gavin Simpson
gavin.simpson at ucl.ac.uk
Mon Jun 28 17:44:52 CEST 2004
Fred wrote:
> Dear All,
>
> I want to know if there is some easy and reliable way to estimate the
> number of dominant eigenvalues when applying PCA on sample covariance
> matrix.
>
> Assume x-axis is the number of eigenvalues (1, 2, ....,n), and y-axis
> is the corresponding eigenvalues (a1,a2,..., an) arranged in
> desceding order. So this x-y plot will be a decreasing curve. Someone
> mentioned using the elbow (knee) method to find the point that the
> maximal curvature of this curve occurs. The number at this point
> would be the number of dominant eigenvalues.
>
> But I could not find any reference papers on this idea. Does anyone
> has tried this method or knows more details on this?
>
> Thanks for your point.
>
> Fred
>
Try this reference from the field of ecology:
@Article{571,
Author = {D. A. Jackson},
Title = {Stopping rules in principal components analysis: a
comparison of heuristic and statistical approaches},
Journal = {Ecology},
Volume = {74},
Number = {8},
Pages = {2204--2214},
month = {},
year = 1993
}
Gav
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Gavin Simpson [T] +44 (0)20 7679 5522
ENSIS Research Fellow [F] +44 (0)20 7679 7565
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