[R] Stepwise Regression and PLS

[Bjørn-Helge Mevik]

"Liaw, Andy" <andy_liaw at merck.com> writes:

> one needs to be lucky to have the first few PCs correlate well to
> the response in case of PCR.

Which is one reason PLSR is often preferred over PCR in at least the
field of chemometrics.  Since the components of PLSR maximise the
covariance with the response, the first few components are usually
more correlated to the response than PCs.  For spectroscopists, the
PLSR loadings are often very interpretable, and are much used to
qualitatively validate the model.

-- 
Bjørn-Helge Mevik