We can do something about multicollinearity
DOI10.1080/03610928408828667zbMATH Open0569.62100OpenAlexW2060946700MaRDI QIDQ3685918FDOQ3685918
Authors: R. E. Kalman 
Publication date: 1984
Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610928408828667
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rankdecompositionmulticollinearityrealization theoryFrisch schemeprejudiceconfluence analysistrue value componentuncorrelated noise component
Multivariate analysis (62H99) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)
Cites Work
Cited In (11)
- The rank of reduced dispersion matrices
- A simple way to deal with multicollinearity
- Residualization: justification, properties and application
- Exploring multicollinearity using a random matrix theory approach
- From time series to linear system, III: Approximate modelling
- Multicolinearity detection by means of the \(h\)-plot of the correlation matrix inverse
- Using factor and regression analysis to solve collinearity in regression models
- The problem of near-multicollinearity revisited: erratic vs systematic volatility.
- A comparison of simultaneous-equations, weighted regression, and noise- in-variables models
- Generating artificial data with preassigned degree of multicollinearity by using singular value decomposition
- A New Measure of Multicollinearity in Linear Regression Models
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