The maximum likelihood solutions given in equations 57 depend on knowledge of the latent dimensionality . In the noise free case this quantity can easily be deduced from the rank of the covariance of the observations
Many other informal methods have been proposed, the most popular choice being the "scree plot" where one looks for a "knee" in the plot of ordered eigenvalues that signifies a split between significant and presumably unimportant directions of the data. With real FMRI data, however, the decision as to where to choose the cutoff value is not obvious and a choice based on simple visual inspection will be ambiguous (see figure 9(ii) for an example). This problem is intensified by the fact that the data set is finite and thus is being estimated by the sample covariance of the set of observations . Even in the absence of any source signals, i.e. when contains a finite number of samples from purely Gaussian isotropic noise only, the eigenspectrum of the sample covariance matrix is not identical to but instead distributed around the true noise covariance: the eigenspectrum will depict an apparent difference in the significance of individual directions within the noise [Everson and Roberts, 2000].

In the case of purely Gaussian noise, however, the sample covariance matrix has a Wishart distribution and we can utilise results from random matrix theory on the empirical distribution function for the eigenvalues of the covariance matrix of a single random dimensional matrix [Johnstone, 2000]. Suppose that as and , then almost surely, where the limiting distribution has a density
If we assume that the source distributions are Gaussian, the probabilistic ICA model (equation 2) reduces to the probabilistic PCA model [Tipping and Bishop, 1999]. In this case, we can use more sophisticated statistical criteria for model order selection. [Minka, 2000] placed PPCA in the Bayesian framework and presented a Laplace approximation to the posterior distribution of the model evidence that can be calculated efficiently from the eigenspectrum of the covariance matrix of observations. When min, then
In order to account for the limited amount of data, we combine this estimate with the predicted cumulative distribution and replace by its adjusted eigenspectrum prior to evaluating the model evidence. Other possible choices for model order selection for PPCA include the Bayesian Information Criterion (BIC, [Kass and Raftery, 1993]) the Akaike Information Criterion (AIC, [Akaike, 1969]) or Minimum Description Length (MDL, [Rissanen, 1978]).
Note that the estimation of the model order in the case of the probabilistic PCA model is based on the assumption of Gaussian source distribution. [Minka, 2000], however, provides some empirical evidence that the Laplace approximation works reasonably well in the case where the source distributions are nonGaussian. As an example, figure 2 shows the eigenspectrum and different estimators of the intrinsic dimensionality for different artificial data sets, where 10 latent sources with nonGaussian distribution were introduced into simulated AR data (i.e. autoregressive noise where the AR parameters were estimated from real resting state FMRI data) and real FMRI resting state noise at peak levels of between and of the mean signal intensity. Note how the increase in AR order will increase the estimates of the latent dimensionality, simply because there are more eigenvalues that fail the sphericity assumption. Performing variancenormalisation and adjusting the eigenspectrum using in all cases improves the estimation. In the case of Gaussian white noise the model assumptions are correct and the adjusted eigenspectrum exactly matches equation 8. In most cases, the different estimators give similar results once the data were variance normalised and the eigenspectrum was adjusted using . Overall, the Laplace approximation and the Bayesian Information Criterion appear to give consistent estimates of the latent dimensionality even though the distribution of the embedded sources are nonGaussian.