Journal of the Korean Data and Information Science Society

The Korean Data and Information Science Society (한국데이터정보과학회)
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Unified Non-iterative Algorithm for Principal Component Regression, Partial Least Squares and Ordinary Least Squares

  • Kim, Jong-Duk (Department of Statistics, Pusan University of Foreign Studies)
  • Published : 2003.05.31
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Abstract

A unified procedure for principal component regression (PCR), partial least squares (PLS) and ordinary least squares (OLS) is proposed. The process gives solutions for PCR, PLS and OLS in a unified and non-iterative way. This enables us to see the interrelationships among the three regression coefficient vectors, and it is seen that the so-called E-matrix in the solution expression plays the key role in differentiating the methods. In addition to setting out the procedure, the paper also supplies a robust numerical algorithm for its implementation, which is used to show how the procedure performs on a real world data set.

Keywords

References

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