We can do something about multicollinearity

DOI10.1080/03610928408828667MaRDI QIDQ3685918zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

confluence analysisdecompositionFrisch schememulticollinearityprejudicerankrealization theorytrue value componentuncorrelated noise component

Mathematics Subject Classification ID

Multivariate analysis (62H99) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

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(15)

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• Generating artificial data with preassigned degree of multicollinearity by using singular value decomposition
• Multicolinearity detection by means of the h-plot of the correlation matrix inverse
• Using factor and regression analysis to solve collinearity in regression models
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• Exploring multicollinearity using a random matrix theory approach
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