A PLS-Integrated LASSO Method with Application in Index Tracking
一种用于指数跟踪的 PLS 整合 LASSO 方法
In traditional multivariate data analysis, dimension reduction and regression have been treated as distinct endeavors. Established techniques such as principal component regression (PCR) and partial least squares (PLS) regression traditionally compute latent components as intermediary steps -- although with different underlying criteria -- before proceeding with the regression analysis. In this paper, we introduce an innovative regression methodology named PLS-integrated…