Envelopes and Partial Least Squares Regression
Envelopes and Partial Least Squares Regression
Summary We build connections between envelopes, a recently proposed context for efficient estimation in multivariate statistics, and multivariate partial least squares (PLS) regression. In particular, we establish an envelope as the nucleus of both univariate and multivariate PLS, which opens the door to pursuing the same goals as PLS but …