Partial least squares algorithm yields shrinkage estimators

• 成果类型: Article
• 署名作者: Goutis, C
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• 发表日期: 1996
• 页码: 816-824
• 关键词: continuum regression; prediction

摘要

We give a geometric proof that the estimates of a regression model derived by using partial least squares shrink the ordinary least squares estimates. The proof is based on a sequential construction algorithm of partial least squares. A discussion of the nature of shrinkage is included.