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Multiobjective regression modifications for collinearity

delete2001-11-01
delete20
PRE
AI
S
Stan Lipovetsky *
W
W. Michael Conklin
DOI：10.1016/S0305-0548(00)00043-5delete
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Abstract

Abstract

En 中文
In this work we develop a new multivariate technique to produce regressions with interpretable coefficients that are close to and of the same signs as the pairwise regression coefficients. Using a multiobjective approach to incorporate multiple and pairwise regressions into one objective we reduce this technique to an eigenproblem that represents a hybrid between regression and principal component analyses. We show that our approach corresponds to a specific scheme of ridge regression with a total matrix added to the matrix of correlations.
Keywords:
multicollinearity
multiobjective optimization
ridge regression
principal component analysis
net effects
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Journal

C
Computers and Operations Research
IF:
4.3
Papers:
6.5K
Citations:
1.8W

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