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The peculiar shrinkage properties of partial least squares regression
Author(s) -
Butler Neil A.,
Denham Michael C.
Publication year - 2000
Publication title -
journal of the royal statistical society: series b (statistical methodology)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 6.523
H-Index - 137
eISSN - 1467-9868
pISSN - 1369-7412
DOI - 10.1111/1467-9868.00252
Subject(s) - partial least squares regression , shrinkage , principal component regression , regression , ordinary least squares , regression analysis , total least squares , statistics , segmented regression , mathematics , regression diagnostic , generalized least squares , simple linear regression , local regression , least squares function approximation , polynomial regression , estimator
Partial least squares regression has been widely adopted within some areas as a useful alternative to ordinary least squares regression in the manner of other shrinkage methods such as principal components regression and ridge regression. In this paper we examine the nature of this shrinkage and demonstrate that partial least squares regression exhibits some undesirable properties.