Franses, Philip Hans (contributor) - 2006
flnding a set of latent variables which together simultaneously decompose Y and X,
given that these latent variables explain …
(PCA).
Suppose there are k such latent variables, where k can take values from 0 to p+1.
The flrst step is now to decompose … X as
X = KW; (7)
where K collects these k latent variables, with K is of size n £ k, and where the
loadings are …