Semiparametric Principal Component Analysis
–Neural Information Processing Systems
We propose two new principal component analysis methods in this paper utilizing a semiparametric model. The according methods are named Copula Component Analysis (COCA) and Copula PCA. The semiparametric model assumes that, after unspecified marginally monotone transformations, the distributions are multivariate Gaussian.
Neural Information Processing Systems
Dec-31-2012