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Article Dans Une Revue Computational Statistics and Data Analysis Année : 2005

PLS regression on a stochastic process

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.

Dates et versions

hal-01124945 , version 1 (06-03-2015)

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Cristian Preda, Gilbert Saporta. PLS regression on a stochastic process. Computational Statistics and Data Analysis, 2005, 48, pp.149-158. ⟨10.1016/j.csda.2003.10.003⟩. ⟨hal-01124945⟩
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