On NIPALS for PCA, what’s the basis for tol2=(1-0.95)*5*(10-1)? If I had a matrix of (20,100) would tol2 be calculated as =(1-0.95)*100*(20-1)?
Can we use RSq instead of tol2? With the following calculation?
VarE = var(X,0,2);
VarX = var((T*P'+X),0,2);