The peculiar shrinkage properties of partial least squares regression

Authors


Neil A. Butler Department of Applied Statistics, University of Reading, PO Box 240, Earley Gate, Reading, RG6 6FN, UKE-mail: N.A.Butler@reading.ac.uk

Abstract

Partial least squares regression has been widely adopted within some areas as a useful alternative to ordinary least squares regression in the manner of other shrinkage methods such as principal components regression and ridge regression. In this paper we examine the nature of this shrinkage and demonstrate that partial least squares regression exhibits some undesirable properties.

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