Title: Exact Dimensionality Selection for Bayesian PCA,
Abstract: We present a Bayesian model selection approach to estimate the intrinsic
dimensionality of a high-dimensional dataset. To this end, we introduce a novel
formulation of the probabilisitic principal component analysis model based on a
normal-gamma prior distribution. In this context, we exhibit a closed-form
expression of the marginal likelihood which allows to infer an optimal number
of components. We also propose a heuristic based on the expected shape of the
marginal likelihood curve in order to choose the hyperparameters. In
non-asymptotic frameworks, we show on simulated data that this exact
dimensionality selection approach is competitive with both Bayesian and
frequentist state-of-the-art methods.