Un critère de choix de variables en analyse en composantes principales fondé sur des modèles graphiques gaussiens particuliers

Abstract

AbstractWe focus on the problem of selection of a subset of the variables so as to preserve the multivariate data structure that a principal‐components analysis of the initial variables would reveal. We propose a new method based on some adapted Gaussian graphical models. This method is then compared with those developed by Bonifas et al. (1984) and Krzanowski (1987a, b). It appears that the criteria for all methods consider the same correlation submatrices and often lead to similar results. The proposed approach offers some guidance as to the number of variables to be selected. In particular, Akaike's information criterion is used.