[R] Partial Least Squares
spencer.graves at pdf.com
Sun Aug 22 23:28:29 CEST 2004
Hi, Thomas: Thanks for the clarification. spencer graves
Thomas Lumley wrote:
>On Fri, 20 Aug 2004, Spencer Graves wrote:
>> Also, have you considered "sem" (structural equation modeling)?
>> From what I've heard, partial least squares started out as a solution
>>without a clear problem statement, i.e., an algorithm claiming to solve
>>a problem but without a clear statement of a probability model for which
>>their algorithm produced the (approximate) maximum likelihood or
>>Bayesian posterior mode. Structural equation modeling, by contrast,
>>provides the model and problem statement that partial least squares
>>seems to try to solve. I got this impression from reading the PLS
>>article in the Encyclopedia of Statistical Sciences.
>I don't think that's quite right. If you look at how PLS is used and who
>uses it, it is in situations where maximum likelihood estimation often is
>not possible or not reliable because of the dimension of the predictor
>variables. It is a regularised version of SEM, which can be useful even
>if the penalty term is not clearly specified.
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