I have a data matrix of say, $3000 \times 200$, i.e. I have $3000$-dimensional observations from $200$ subjects. How can I reduce the dimensionality to $1000$ in MATLAB?
With bigger numbers,
princomp() function causes an
out of memory error.
princomp(data, 'econ'); but it only returns a $199$-by-$199$ matrix, so am I limited to the number of observations?
I would appreciate an example of how to get the reduced data, if possible.