Continuum Regression: Cross-Validated Sequentially Constructed Prediction Embracing Ordinary Least Squares, Partial Least Squares and Principal Components Regression
连续谱回归:以交叉验证统一最小二乘、偏最小二乘与主成分回归
SUMMARY The paper addresses the evergreen problem of construction of regressors for use in least squares multiple regression. In the context of a general sequential procedure for doing this, it is shown that, with a particular objective criterion for the construction, the procedures of ordinary least squares and principal components regression occupy the opposite ends of a continuous spectrum, with partial least squares lying in between. There are two adjustable ‘parameters’…