Chen, Xiaohong; Hansen, Lars Peter; Scheinkman, Jose A. - Centre for Microdata Methods and Practice (CEMMAP) - 2009
<p><p>We investigate a method for extracting nonlinear principal components. These principal components maximize variation subject to smoothness and orthogonality constraints; but we allow for a general class of constraints and densities, including densities without compact support and even densities...</p></p>