I don't agree with @JohnKormylo ;) The problem is not the citation, the problem is to
· Hack the head row
for adding the word 'Rank' in some columns:
every head row/.style={
typeset cell/.code={%% add the word 'Rank'...
\ifnum\pgfplotstablecol=\pgfplotstablecols%
\pgfkeyssetvalue{/pgfplots/table/@cell content}{Rank ##1\\}%
\else%
\ifnum\pgfplotstablecol=1%
\pgfkeyssetvalue{/pgfplots/table/@cell content}{##1 &}%
\else%
\pgfkeyssetvalue{/pgfplots/table/@cell content}{Rank ##1 &}%
\fi\fi%
}%%
},
· The citation, on the other hand, can simply be added by using biblatex/biber
,
where we have to use a matching bibliography, and then
display columns/0/.style={
postproc cell content/.style={@cell content={##1 \cite{##1} }}
},
(or maybe another 'citation source' too; depending on where the labels come from).
· Alltogether:

% arara: pdflatex
% arara: biber
% arara: pdflatex
% arara: pdflatex
\RequirePackage{filecontents}
\begin{filecontents}{\jobname.bib}
@book{ITML,
title = {Citation of ITML},
}
@book{SDALF,
title = {Citation of SDALF},
}
@book{KISSME,
title = {Citation of KISSME},
}
@book{LDM,
title = {Citation of LDM},
}
@book{LMNN,
title = {Citation of LMNN},
}
\end{filecontents}
\documentclass[border=5pt, varwidth]{standalone}
\usepackage{pgfplotstable}
\usepackage[style=numeric]{biblatex}
\addbibresource{\jobname.bib}
\usepackage[colorlinks=true, citecolor=purple, pdfborder={0 0 0}]{hyperref}
\begin{document}
\pgfplotstableread[header=true]{
Rank ITML SDALF KISSME LDM LMNN
1 5.53 5.60 14.17 13.51 7.29
5 18.89 23.45 48.54 40.73 21.00
10 29.96 36.09 52.57 52.13 32.06
20 44.20 51.96 70.53 70.81 48.94
}\Actual
\textbf{\Large Actual:} \pgfplotstabletypeset[string type]{\Actual}
\bigskip
\pgfplotstableset{string type,
column type={>{\bfseries}c}, % bfseries for head row (1/2)
postproc cell content/.append style={% normalfont for cells (2/2)
/pgfplots/table/@cell content/.add={\fontseries{\seriesdefault}\selectfont}{}
},
%
every head row/.style={
before row=\hline,
after row=\hline,
typeset cell/.code={%% add the word 'Rank'...
\ifnum\pgfplotstablecol=\pgfplotstablecols%
\pgfkeyssetvalue{/pgfplots/table/@cell content}{Rank ##1\\}%
\else%
\ifnum\pgfplotstablecol=1%
\pgfkeyssetvalue{/pgfplots/table/@cell content}{##1 &}%
\else%
\pgfkeyssetvalue{/pgfplots/table/@cell content}{Rank ##1 &}%
\fi\fi%
}%%
},
%
every last row/.style={
after row=\hline,
},
%
display columns/0/.style={% citations
postproc cell content/.style={@cell content={##1 \cite{##1} }},
column type=l,
},
}
\textbf{\Large Target:} \pgfplotstabletranspose[
colnames from=Rank,
input colnames to=Method,
]\Target{\Actual}
\pgfplotstabletypeset[]{\Target}
%\cite{ITML}
\printbibliography[title=Citations]
\end{document}
"Adding the citation is the tricky bit."
I don't know why :)