[R] Stepwise Regression and PLS

Frank E Harrell Jr feh3k at spamcop.net
Tue Feb 3 11:45:02 CET 2004

On Tue, 03 Feb 2004 09:25:18 +0100
bhx2 at mevik.net (Bjørn-Helge Mevik) wrote:

> "Liaw, Andy" <andy_liaw at merck.com> writes:
> > one needs to be lucky to have the first few PCs correlate well to
> > the response in case of PCR.
> Which is one reason PLSR is often preferred over PCR in at least the
> field of chemometrics.  Since the components of PLSR maximise the
> covariance with the response, the first few components are usually
> more correlated to the response than PCs.  For spectroscopists, the
> PLSR loadings are often very interpretable, and are much used to
> qualitatively validate the model.
> -- 
> Bjørn-Helge Mevik

>From what you described PLSR needs an additional validation step not
needed as much by PCR, because its optimization to the response variable
can cause overfitting.  PCR does not use the response until data reduction
is completed.

Frank E Harrell Jr   Professor and Chair           School of Medicine
                     Department of Biostatistics   Vanderbilt University

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