Principal component regression (PCR) regresses the target on the first principal components of the features (Book 4, chapter 22). Partial least squares (PLS) regresses it on components chosen for their covariance with the target: the first weight vector is proportional to , and each later one is found the same way after deflating by the components already taken.
Quantitative Finance · Begrippenlijst
Wat is Principal component regression, partial least squares?
Ook bekend als: principal component regression · partial least squares