An Modified PLSR Method in Prediction

10.6339/JDS.2006.04(3).285

Bo Cheng；Xi-Zhi Wu

Modified partial least squares regression (MPLSR) ； multicollinearity ； partial least square regression (PLSR) ； ridge regression (RR) ； principal components regression (PCR) ； variable subset selection method (VSS)

Journal of Data Science

4卷3期（2006 / 07 / 01）

257 - 274

英文

Among many statistical methods for linear models with the multicollinearity problem, partial least squares regression (PLSR) has become, in recent years, increasingly popular and, very often, the best choice. However, while dealing with the predicting problem from automobile market, we noticed that the results from PLSR appear unstable though it is still the best among some standard statistical methods. This unstable feature is likely due to the impact of the information contained in explanatory variables that is irrelevant to the response variable. Based on the algorithm of PLSR, this paper introduces a new method, modified partial least squares regression (MPLSR), to emphasize the impact of the relevant information of explanatory variables on the response variable. With the MPLSR method, satisfactory predicting results are obtained in the above practical problem. The performance of MPLSR, PLSR and some standard statistical methods are compared by a set of Monte Carlo experiments. This paper shows that the MPLSR is the most stable and accurate method, especially when the ratio of the number of observation and the number of explanatory variables is low.