The L-curve criterion as a model selection tool in PLS regression
Summary: Partial least squares (PLS) regression is an alternative to the ordinary least squares (OLS) regression, used in the presence of multicollinearity. As with any other modelling method, PLS regression requires a reliable model selection tool. Cross validation (CV) is the most commonly used tool with many advantages in both preciseness and accuracy, but it also has some drawbacks; therefore, we will use L-curve criterion as an alternative, given that it takes into consideration the shrinking nature of PLS. A theoretical justification for the use of L-curve criterion is presented as well as an application on both simulated and real data. The application shows how this criterion generally outperforms cross validation and generalized cross validation (GCV) in mean squared prediction error and computational efficiency.
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- Generalized Cross-Validation as a Method for Choosing a Good Ridge Parameter
- scientific article; zbMATH DE number 3518130 (Why is no real title available?)
- scientific article; zbMATH DE number 1175931 (Why is no real title available?)
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- Least Squares Methods for Ill-Posed Problems with a Prescribed Bound
- Methods of conjugate gradients for solving linear systems
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- The triangle method for finding the corner of the L-curve
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