[Numpy-discussion] performance matrix multiplication vs. matlab

[David Cournapeau]

Gael Varoquaux wrote:
> I am using the heuristic exposed in
> http://ieeexplore.ieee.org/xpl/freeabs_all.jsp?arnumber=4562996
>
> We have very noisy and long time series. My experience is that most
> model-based heuristics for choosing the number of PCs retained give us
> way too much on this problem (they simply keep diverging if I add noise
> at the end of the time series). The algorithm we use gives us ~50
> interesting PCs (each composed of 50 000 dimensions). That happens to be
> quite right based on our experience with the signal. However, being
> fairly new to statistics, I am not aware of the EM algorithm that you
> mention. I'd be interested in a reference, to see if I can use that
> algorithm. 

I would not be surprised if David had this paper in mind :)

http://www.cs.toronto.edu/~roweis/papers/empca.pdf

cheers,

David