Are there any R packages that relate to the following data reduction problem fo finding maximally independent variables?
Currently what I am doing is solving the following minimax problem: Suppose we want to find the three maximally independent variables. From the full n by n correlation matrix, C, of all n variables chooose three variables and form their 3 by 3 correlation submatrix, C1, finding the offdiagonal entry of C1 which is largest in absolute value. Call that z. Thus for each set of 3 variables we can associate such a z. Now for each possible set of three variables find the one for which its value of z is least. I only give the above formulation because that is what I am doing now but I would be happy to consider other different formulations. ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
