A guide for sparse PCA: model comparison and applications

This GitHub repository contains all Matlab codes, R codes, and functions that support the "A guide for sparse PCA: model comparison and applications" (DOI https://doi.org/10.1007/s11336-021-09773-2). The repository includes DataGeneration, Simulation, and Application files.

Simulation:

GP and pathSPCA functions require additional functions that are freely available.

• GP required GPower.m function. This function is available on the author's website: http://www.montefiore.ulg.ac.be/~journee/.
• pathSPCA requires maxeig.m and FullPathCov.m functions. These functions are available on the author's website: https://www.di.ens.fr/~aspremon/index.html.

Application:

We do an empirical application using Big5 and Gene Expression data sets. These data sets can be downloaded using the file "Download&Processing.r" in each folder.