PRINCIPAL COMPONENT REGRESSION REVISITED

PRINCIPAL COMPONENT REGRESSION REVISITED

Principal component regression has been perceived as a remedy for multi-collinearity. Cook (2007) suggested that principal components and related methodology actually play a broader role than previously thought. Recently, Artemiou and Li (2009) provided a probabilistic explanation of the phenomenon...

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Veröffentlicht in:Statistica Sinica 2011-04, Vol.21 (2), p.741-747
1. Verfasser: Ni, Liqiang
Format: Artikel
Sprache:eng
Schlagworte:
Covariance matrices
Eigenvalues
Eigenvectors
Logical theorems
Matrices
Random variables
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Zusammenfassung:Principal component regression has been perceived as a remedy for multi-collinearity. Cook (2007) suggested that principal components and related methodology actually play a broader role than previously thought. Recently, Artemiou and Li (2009) provided a probabilistic explanation of the phenomenon that the response is often highly correlated with the leading principal components of the predictors. This article reinforces the previous results and offers an alternative perspective.
ISSN:1017-0405
1996-8507
DOI:10.5705/ss.2011.033a