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Envelopes and partial least squares regression
Author(s) -
Cook R. D.,
Helland I. S.,
Su Z.
Publication year - 2013
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/rssb.12018
Subject(s) - partial least squares regression , multivariate statistics , univariate , estimator , envelope (radar) , statistics , context (archaeology) , regression , multivariate analysis , regression analysis , mathematics , computer science , geography , telecommunications , radar , archaeology
Summary We build connections between envelopes, a recently proposed context for efficient estimation in multivariate statistics, and multivariate partial least squares (PLS) regression. In particular, we establish an envelope as the nucleus of both univariate and multivariate PLS, which opens the door to pursuing the same goals as PLS but using different envelope estimators. It is argued that a likelihood‐based envelope estimator is less sensitive to the number of PLS components that are selected and that it outperforms PLS in prediction and estimation.