Dear all; Does anyone have implemented a function for cross-validation in PCA? I know of one in the package pcaMethods but it doesn't work as I need. Assuming there's no one available, I tried to write a function for doing CV using prcomp but I'm not sure to understand how to obtain the PRESS error. I know that PRESS in PCA can be calculated as the (x-xhat)^2, but how can I obtain xhat? I used predict.prcomp but what I get is the predicted scores of the sample not included in the PC model and no xhat really, am I wrong?
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