Principal component analysis (PCA) is perhaps the most widely used method for data dimensionality reduction. A key question in PCA is deciding how many components to retain. This manuscript describes a new approach to automatically selecting the number of principal components based on the Bayesian minimum message length method of inductive inference. We derive new estimates of the isotropic residual variance and loadings, and establish their bias and asymptotic distributions. For moderate latent dimensions, the residual variance estimate improves on maximum likelihood, and the implied eigenvalue shrinkage approaches the Stein-optimal shrinkage for strong signals.

翻译：暂无翻译