Space dilating two-way variable selection

Abstract

A method of identifying a set of parameters representative of a data set is provided. An eigen decomposition of a covariance matrix is calculated to form a decomposed matrix and an eigenvalue vector. The covariance matrix is calculated for a matrix of data including a plurality of data values for each of a plurality of parameters. The decomposed matrix includes a number of eigenvectors equal to a number of the plurality of parameters with each eigenvector including a coefficient for each parameter. The eigenvalue vector includes an eigenvalue defined for each eigenvector. A first matrix is created by rank ordering the coefficient within each parameter of the plurality of parameters for each of the plurality of parameters. A score is determined for each parameter using the created first matrix and the eigenvalue vector. A parameter set is identified based on the determined score for each parameter.