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Principal component analysis (PCA) is a linear dimensionality reduction technique. It reduces a multivariate dataset to a smaller set of constructed variables preserving as much information (as much variance) as possible. These variables, called principal components, are linear combinations of the input variables.

1 vote
0 answers
865 views

Explained variance threshold for eigenfaces

So for example, if I want use n components that explain $95\%$ of variance, and I was considering the first 3 components then I can do this: import numpy as np from sklearn.decomposition import PCA from … = PCA().fit(lfw_people.data) explained_variance = np.cumsum(pca.explained_variance_ratio_) n = sum(explained_variance <= 0.95) This results in an n of 150. …
4 votes
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A guide to regularization strategies in regression

From The Elements of Statistical Learning, as suggested by goangit, section 3.6 is a one page discussion comparing selection and shrinkage methods which points to a paper by Frank and Friedman (1993) …
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5 votes
2 answers
665 views

A guide to regularization strategies in regression

I'm looking for some sort of guideline as when it is appropriate to use which forms of regularization and a comparison of the advantages / disadvantages of the various forms. So something that compare …