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.
Citation
Constantinos Goutis. "Partial least squares algorithm yields shrinkage estimators." Ann. Statist. 24 (2) 816 - 824, April 1996. https://doi.org/10.1214/aos/1032894467
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