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An algorithm for computing principal points with respect to a loss function in the unidimensional case

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Abstract

In Flury (1990) the k principal points of a random vector X are defned as the points p(1),..., p(k) minimizing E∥X−p(i)2; i=1,..., k. We extend this concept to that of k principal points with respect to a loss function L, and present an algorithm for their computation in the univariate case.

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Rowe, S. An algorithm for computing principal points with respect to a loss function in the unidimensional case. Stat Comput 6, 187–190 (1996). https://doi.org/10.1007/BF00140863

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  • DOI: https://doi.org/10.1007/BF00140863

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