Gael Varoquaux wrote: > I am using the heuristic exposed in > http://ieeexplore.ieee.org/xpl/freeabs_all.jsp?arnumber=4562996 > > We have very noisy and long time series. My experience is that most > model-based heuristics for choosing the number of PCs retained give us > way too much on this problem (they simply keep diverging if I add noise > at the end of the time series). The algorithm we use gives us ~50 > interesting PCs (each composed of 50 000 dimensions). That happens to be > quite right based on our experience with the signal. However, being > fairly new to statistics, I am not aware of the EM algorithm that you > mention. I'd be interested in a reference, to see if I can use that > algorithm.
I would not be surprised if David had this paper in mind :) http://www.cs.toronto.edu/~roweis/papers/empca.pdf cheers, David _______________________________________________ Numpy-discussion mailing list Numpy-discussion@scipy.org http://mail.scipy.org/mailman/listinfo/numpy-discussion
