Qian, G. Q.; Gabor, G.; Gupta, R. P. - In: Journal of Multivariate Analysis 49 (1994) 1, pp. 55-75
Based on the concept of complexity or minimum description length developed by Kolmogorov, Rissanen, Wallace, and others, an index of predictive power is proposed as a criterion to select the principal components of a random vector distributed in a parametric family. This criterion, when applied...