¥Constraint is
¥
¥
¥
¥
where ajk is the jth element in
the kth EOF, and t is a Ôtuning parameterÕ. As t ¨
0, an increasing number of loadings are
driven to 0.
¥The technique is named SCoTLASS (Simplified Component Technique
– LASSO).
¥Zou et al. (2006) have an ÔimprovedÕ version of SCoTLASS, with an
implementation in R