Inference on the Proportion of Variance Explained in Principal Component Analysis
主成分分析中方差解释比例的统计推断
Principal component analysis (PCA) is a longstanding approach for dimension reduction. It rests upon the assumption that the underlying signal has low rank, and thus can be well-summarized using a small number of dimensions. The output of PCA is typically represented using a scree plot, which displays the proportion of variance explained (PVE) by each principal component. While the PVE is extensively reported in routine analyses, to the best of our knowledge the notion of…