A Note on the Use of Principal Components in Regression.

Jolliffe, Ian T.

The use of principal components in regression has received a lot of attention in the literature in the past few years, and the topic is now beginning to appear in textbooks. Along with the use of principal component regression there appears to have been a growth in the misconception that the principal components with small eigenvalues will very rarely be of any use in regression. The purpose of this note is to demonstrate that these components can be as important as those with large variance. This is illustrated with four examples, three of which have already appeared in the literature.

REGRESSION analysis; PRINCIPAL components analysis; EIGENVALUES

Journal of the Royal Statistical Society: Series C (Applied Statistics), 1982, Vol 31, Issue 3, p300

0035-9254

Academic Journal

10.2307/2348005