Latent root regression: a biased regression methodology for use with collinear predictor variables |
| |
Authors: | Robert L Mason |
| |
Institution: | Fuels and Lubricants Research Division , Southwest Research Institute , San Antonio , Texas , 78284 |
| |
Abstract: | Many different biased regression techniques have been proposed for estimating parameters of a multiple linear regression model when the predictor variables are collinear. One particular alternative, latent root regression analysis, is a technique based on analyzing the latent roots and latent vectors of the correlation matrix of both the response and the predictor variables. It is the purpose of this paper to review the latent root regression estimator and to re-examine some of its properties and applications. It is shown that the latent root estimator is a member of a wider class of estimators for linear models |
| |
Keywords: | biased estimation least squares principal components ridge regression vertical norms |
|
|