Selecting the number of sparse principal components to include in regression

Does anyone have experience with approaches for selecting the number of sparse principal components to include in a regression model?

Answer

While I don’t have direct insights about your question, I ran across some research papers, which might be of your interest. That is, of course, if I understand correctly that you are talking about sparse PCA, principal component regression and related topics. In that case, here are the papers:

Attribution
Source : Link , Question Author : Frank Harrell , Answer Author : Aleksandr Blekh

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