PARTIAL LEAST SQUARES PREDICTION IN HIGH-DIMENSIONAL REGRESSION

We study the asymptotic behavior of predictions from partial least squares (PLS) regression as the sample size and number of predictors diverge in various alignments. We show that there is a range of regression scenarios where PLS predictions have the usual root-n convergence rate, even when the sam...

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Veröffentlicht in:	The Annals of statistics 2019-04, Vol.47 (2), p.884-908
Hauptverfasser:	Cook, R. Dennis, Forzani, Liliana
Format:	Artikel
Sprache:	eng
Schlagworte:	Asymptotic methods Asymptotic properties Convergence Least squares Multivariate analysis Regression Regression analysis Studies
Online-Zugang:	Volltext
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