Targeted principal components regression

DOI10.1016/J.JMVA.2022.104995MaRDI QIDQ2140873zbMATH OpenOpenAlexFDO

Authors Karl Oskar Ekvall

Publication date 23 May 2022

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2004.14009

zbMATH Keywords

dependent datadimension reductionmultivariate regressionprincipal components

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Factor analysis and principal components; correspondence analysis (62H25)

Abstract: We propose a principal components regression method based on maximizing a joint pseudo-likelihood for responses and predictors. Our method uses both responses and predictors to select linear combinations of the predictors relevant for the regression, thereby addressing an oft-cited deficiency of conventional principal components regression. The proposed estimator is shown to be consistent in a wide range of settings, including ones with non-normal and dependent observations; conditions on the first and second moments suffice if the number of predictors ($p$) is fixed and the number of observations ($n$) tends to infinity and dependence is weak, while stronger distributional assumptions are needed when $poinfty$ with $n$. We obtain the estimator's asymptotic distribution as the projection of a multivariate normal random vector onto a tangent cone of the parameter set at the true parameter, and find the estimator is asymptotically more efficient than competing ones. In simulations our method is substantially more accurate than conventional principal components regression and compares favorably to partial least squares and predictor envelopes. The method's practical usefulness is illustrated in a data example with cross-sectional prediction of stock returns.

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Cited in

(7)

• Principal component-guided sparse regression
• Penalized orthogonal-components regression for large \(p\) small \(n\) data
• Uncertainty quantification for principal component regression
• On principal components regression with Hilbertian predictors
• Principal components in econometrics
• scientific article; zbMATH DE number 469394 (Why is no real title available?)
• Principal fitted components for dimension reduction in regression

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