The principal problem with principal components regression

DOI10.1080/25742558.2019.1622190MaRDI QIDQ5203802zbMATH OpenOpenAlexFDO

Authors

Publication date 9 December 2019

Published in Cogent Mathematics & Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1080/25742558.2019.1622190

zbMATH Keywords

big datadata reductionfactor analysisPCRprincipal components regression

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Ridge regression; shrinkage estimators (Lasso) (62J07)

Recommendations

• Robust principal components regression
• Nonparametric principal components regression
• Principal component regression revisited
• Bayesian principal component regression with data-driven component selection
• Principal fitted components for dimension reduction in regression

Cites work

• A Biometrics Invited Paper. The Analysis and Selection of Variables in Linear Regression
• Forecasting Using Principal Components From a Large Number of Predictors
• On the number of principal components: a test of dimensionality based on measurements of similarity between matrices
• Principal component analysis: a review and recent developments
• RELATIONS BETWEEN TWO SETS OF VARIATES
• Searching for the core variables in principal components analysis
• Statistical learning and selective inference
• Surrogate models in ill-conditioned systems

Cited in

(17)

• On principal components regression, random projections, and column subsampling
• Confronting collinearity in environmental regression models: evidence from world data
• Comparing six shrinkage estimators with large sample theory and asymptotically optimal prediction intervals
• Principal component regression revisited
• Construction of ordinary regression test with principal component regression under collinearity
• Robust principal components regression
• A note on the behaviour of augmented principal-component plots in regression
• On principal components and regression: a statistical explanation of a natural phenomenon
• Principal component regression under exchangeability
• Bayesian principal component regression with data-driven component selection
• Sketching for principal component regression
• Nonparametric principal components regression
• On Robustness of Principal Component Regression
• Principal component regression in GAMLSS applied to Greek–German government bond yield spreads
• A model‐based approach to multivariate principal component regression: Selecting principal components and estimating standard errors for unstandardized regression coefficients
• The utilization of partial least squares for simultaneous feature selection and extraction
• Principal fitted components for dimension reduction in regression

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Uses Software

• Eigenstrat

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