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I'd like to run sparse PCA on some economic data. There appear to be several R functions available including elasticnet and PMA but I wanted to check if anyone had something coded up directly in MMA they might be willing share?

Thanks, Peter

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  • $\begingroup$ Did you give RLink a try? Its meant for such purpose where you can mix and use existing R code/library on the fly from your Mathematica code. $\endgroup$
    – PlatoManiac
    Jan 25, 2014 at 12:32
  • $\begingroup$ @PlatoManiac Thanks, yes intend to use RLink if no MMA code available. Wanted to check if MMA version available so I might have more control over algo and diagnostics. $\endgroup$
    – pjc42
    Jan 25, 2014 at 19:10

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