Envelopes and partial least squares regression ∗

نویسنده

  • I. S. Helland
چکیده

4 We build connections between envelopes, a recently proposed context for efficient estima5 tion in multivariate statistics, and multivariate partial least squares (PLS) regression. In partic6 ular, we establish an envelope as the nucleus of both univariate and multivariate PLS, which 7 opens the door to pursuing the same goals as PLS but using different envelope estimators. It 8 is argued that a likelihood-based envelope estimator is less sensitive to the number of PLS 9 components selected and that it outperforms PLS in prediction and estimation. 10

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تاریخ انتشار 2012