Partial least squares algorithm yields shrinkage estimators
Open Access
- 1 April 1996
- journal article
- Published by Institute of Mathematical Statistics in The Annals of Statistics
- Vol. 24 (2) , 816-824
- https://doi.org/10.1214/aos/1032894467
Abstract
We give a geometric proof that the estimates of a regression model derived by using partial least squares shrink the ordinary least squares estimates. The proof is based on a sequential construction algorithm of partial least squares. A discussion of the nature of shrinkage is included.Keywords
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