A Modified Principal Component Technique Based on the LASSO

In many multivariate statistical techniques, a set of linear functions of the original p variables is produced. One of the more difŽ cult aspects of these techniques is the interpretation of the linear functions, as these functions usually have nonzero coefŽ cients on all p variables.A common approach is to effectively ignore (treat as zero) any coefŽ cients less than some threshold value, so that the function becomes simple and the interpretation becomes easier for the users. Such a procedure can be misleading.There are alternatives to
\nprincipal component analysis which restrict the coefficients to a smaller number of possible values in the derivationof the linear functions,or replace the principal…

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  Leverhulme Trust