In this article, we introduce a procedure for selecting variables in principal components analysis. It is developed to identify a small subset of the original variables that best explain the principal components through nonparametric relationships. There are usually some noisy uninformative variables in a dataset, and some variables that are strongly related to one another because of their general dependence. The procedure is designed to be used following the satisfactory initial principal components analysis with all variables, and its aim is to help to interpret the underlying structures. We analyze the asymptotic behavior of the method and provide some examples.
"Searching for the core variables in principal components analysis." Braz. J. Probab. Stat. 32 (4) 730 - 754, November 2018. https://doi.org/10.1214/17-BJPS361