A Multivariate Regression Model Based on the Optimal Partition of Predictors (MRBOP) useful in applications in the presence of strongly correlated predictors is presented. Such classes of predictors are synthesized by latent factors, which are obtained through an appropriate linear combination of the original variables and are forced to be weakly correlated. Specifically, the proposed model assumes that the latent factors are determined by subsets of predictors characterizing only one latent factor. MRBOP is formalized in a least squares framework optimizing a penalized quadratic objective function through an alternating least-squares (ALS) algorithm. The performance of the methodology is evaluated on simulated and real data sets. © 2013 Springer Science+Business Media New York.

Partitioning predictors in multivariate regression models / Martella, Francesca; Vicari, Donatella; Vichi, Maurizio. - In: STATISTICS AND COMPUTING. - ISSN 1573-1375. - 25:2(2015), pp. 261-272. [10.1007/s11222-013-9430-4]

Partitioning predictors in multivariate regression models

MARTELLA, Francesca;VICARI, Donatella;VICHI, Maurizio
2015

Abstract

A Multivariate Regression Model Based on the Optimal Partition of Predictors (MRBOP) useful in applications in the presence of strongly correlated predictors is presented. Such classes of predictors are synthesized by latent factors, which are obtained through an appropriate linear combination of the original variables and are forced to be weakly correlated. Specifically, the proposed model assumes that the latent factors are determined by subsets of predictors characterizing only one latent factor. MRBOP is formalized in a least squares framework optimizing a penalized quadratic objective function through an alternating least-squares (ALS) algorithm. The performance of the methodology is evaluated on simulated and real data sets. © 2013 Springer Science+Business Media New York.
2015
class-correlated variables; partition of variables; least squares estimation; penalized regression model; latent factors
01 Pubblicazione su rivista::01a Articolo in rivista
Partitioning predictors in multivariate regression models / Martella, Francesca; Vicari, Donatella; Vichi, Maurizio. - In: STATISTICS AND COMPUTING. - ISSN 1573-1375. - 25:2(2015), pp. 261-272. [10.1007/s11222-013-9430-4]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/530488
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