Model Averaging and Dimension Selection for the Singular Value Decomposition [report]

Peter D. Hoff
2006 unpublished
Many multivariate data analysis techniques for an m × n matrix Y are related to the model Y = M + E, where Y is an m × n matrix of full rank and M is an unobserved mean matrix of rank K < (m ∧ n). Typically the rank of M is estimated in a heuristic way and then the least-squares estimate of M is obtained via the singular value decomposition of Y, yielding an estimate that can have a very high variance. In this paper we suggest a model-based alternative to the above approach by providing prior
more » ... stributions and posterior estimation for the rank of M and the components of its singular value decomposition. Public reporting burden for the collection of information is estimated to average 1 hour per response, including the time for reviewing instructions, searching existing data sources, gathering and maintaining the data needed, and completing and reviewing the collection of information. Send comments regarding this burden estimate or any other aspect of this collection of information, including suggestions for reducing this burden, to Washington Headquarters Services, Directorate for Information Operations and Reports, 1215 Jefferson Davis Highway, Suite 1204, Arlington VA 22202-4302. Respondents should be aware that notwithstanding any other provision of law, no person shall be subject to a penalty for failing to comply with a collection of information if it does not display a currently valid OMB control number.
doi:10.21236/ada454966 fatcat:7vesksywcvabxpwn3wcqlq444m