RCCM: Retained Component Criterion for the Moving Dynamic Principal Component Analysis

Research output: Other contribution

Abstract

The RCC_MDPCA criterion is a new tool to determine the optimal number of components (i.e. MDPCs) to retain for the Moving Dynamic Principal Component Analysis (MDPCA). This criterion balances between the following two desires, reducing the dimension of the data and increasing the accuracy of the final results of MDPCA; See Alshammri and Pan (2019). Notice that the following libraries are needed to be installed before using the mcov function: library(roll); library(MDPCA)
Original languageEnglish
TypeDeveloping R Package
Media of outputR
PublisherUniversity of Strathclyde
Number of pages1
Place of PublicationGlasgow
Publication statusPublished - 10 Mar 2020

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Keywords

  • RCCM

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