Josse, Julie; Husson, François - In: Computational Statistics & Data Analysis 56 (2012) 6, pp. 1869-1879
Cross-validation is a tried and tested approach to select the number of components in principal component analysis (PCA), however, its main drawback is its computational cost. In a regression (or in a non parametric regression) setting, criteria such as the general cross-validation one (GCV)...