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A Modified Principal Component Technique Based on the LASSO

Ian T. Jolliffe, Nickolay T. Trendafilov and Mudassir Uddin
Journal of Computational and Graphical Statistics
Vol. 12, No. 3 (Sep., 2003), pp. 531-547
Stable URL: http://www.jstor.org/stable/1391037
Page Count: 17
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A Modified Principal Component Technique Based on the LASSO
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Abstract

In many multivariate statistical techniques, a set of linear functions of the original p variables is produced. One of the more difficult aspects of these techniques is the interpretation of the linear functions, as these functions usually have nonzero coefficients on all p variables. A common approach is to effectively ignore (treat as zero) any coefficients less than some threshold value, so that the function becomes simple and the interpretation becomes easier for the users. Such a procedure can be misleading. There are alternatives to principal component analysis which restrict the coefficients to a smaller number of possible values in the derivation of the linear functions, or replace the principal components by "principal variables." This article introduces a new technique, borrowing an idea proposed by Tibshirani in the context of multiple regression where similar problems arise in interpreting regression equations. This approach is the so-called LASSO, the "least absolute shrinkage and selection operator," in which a bound is introduced on the sum of the absolute values of the coefficients, and in which some coefficients consequently become zero. We explore some of the properties of the new technique, both theoretically and using simulation studies, and apply it to an example.

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