Partial least squares for dependent data

Marco Singer, Tatyana Krivobokova, Axel Munk and Bert de Groot

Biometrika, 2016, vol. 103, issue 2, 351-362

Abstract: We consider the partial least squares algorithm for dependent data and study the consequences of ignoring the dependence both theoretically and numerically. Ignoring nonstationary dependence structures can lead to inconsistent estimation, but a simple modification yields consistent estimation. A protein dynamics example illustrates the superior predictive power of the proposed method.

Date: 2016
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Citations: View citations in EconPapers (4)

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