Please use this identifier to cite or link to this item: https://doi.org/10.1198/jcgs.2009.0012
Title: On general adaptive sparse principal component analysis
Authors: Leng, C. 
Wang, H.
Keywords: Adaptive lasso
BIC
GAS-PCA
LARS
Lasso
S-PCA
SAS-PCA
Issue Date: 2009
Citation: Leng, C., Wang, H. (2009). On general adaptive sparse principal component analysis. Journal of Computational and Graphical Statistics 18 (1) : 201-215. ScholarBank@NUS Repository. https://doi.org/10.1198/jcgs.2009.0012
Abstract: The method of sparse principal component analysis (S-PCA) proposed by Zou, Hastie, and Tibshirani (2006) is an attractive approach to obtain sparse loadings in principal component analysis (PCA). S-PCA was motivated by reformulating PCA as a least-squares problem so that a lasso penalty on the loading coefficients can be applied. In this article, we propose new estimates to improve S-PCA in the following two aspects. First, we propose a method of simple adaptive sparse principal component analysis (SAS-PCA), which uses the adaptive lasso penalty (Zou 2006; Wang, Li, and Jiang 2007) instead of the lasso penalty in S-PCA. Second, we replace the least-squares objective function in S-PCA by a general least-squares objective function. This formulation allows us to study many related sparse PCA estimators under a unified theoretical framework and leads to the method of general adaptive sparse principal component analysis (GAS-PCA). Compared with SAS-PCA, GAS-PCA enjoys much improved finite sample performance. In addition, we show that, when a BIC-type criterion is used for selecting the tuning parameters, the resulting estimates are consistent in variable selection. Numerical studies are conducted to compare the finite sample performance of various competing methods. © 2009 American Statistical Association,.
Source Title: Journal of Computational and Graphical Statistics
URI: http://scholarbank.nus.edu.sg/handle/10635/105256
ISSN: 10618600
DOI: 10.1198/jcgs.2009.0012
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