3.7. Partial Least Squares

Partial least squares (PLS) models are useful to find linear relations between two multivariate datasets: in PLS the X and Y arguments of the fit method are 2D arrays.

PLS finds the fundamental relations between two matrices (X and Y): it is a latent variable approach to modeling the covariance structures in these two spaces. A PLS model will try to find the multidimensional direction in the X space that explains the maximum multidimensional variance direction in the Y space. PLS-regression is particularly suited when the matrix of predictors has more variables than observations, and when there is multicollinearity among X values. By contrast, standard regression will fail in these cases.

Classes included in this module are PLSRegression PLSCanonical, CCA and PLSSVD

Reference:

• JA Wegelin A survey of Partial Least Squares (PLS) methods, with emphasis on the two-block case

Examples:

• PLS Partial Least Squares