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[PS05a] PLS regression on a stochastic process

Revue Internationale avec comité de lecture : Journal Computational Statistics & Data Analysis, vol. 48(1), pp. 149-158, 2005
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Résumé: Partial least squares (PLS) regression on an L2-continuous stochastic process is an extension of the finite set case of predictor variables. The PLS components existence as eigenvectors of some operator and convergence properties of the PLS approximation are proved. The results of an application to stock-exchange data will be compared with those obtained by other methods.

BibTeX

@article {
PS05a,
title="{PLS regression on a stochastic process}",
author="C. Preda and G. Saporta",
journal="Computational Statistics & Data Analysis",
year=2005,
volume=48,
number=1,
pages="149-158",
}