Partial least squares prediction in high-dimensional regression

The Annals of Statistics · 2019 · Volume 47 · Issue 2

Abstract

We study the asymptotic behavior of predictions from partial least squares (PLS) regression as the sample size and number of predictors diverge in various alignments. We show that there is a range of regression scenarios where PLS predictions have the usual root-$n$ convergence rate, even when the sample size is substantially smaller than the number of predictors, and an even wider range where the rate is slower but may still produce practically useful results. We show also that PLS predictions achieve their best asymptotic behavior in abundant regressions where many predictors contribute information about the response. Their asymptotic behavior tends to be undesirable in sparse regressions where few predictors contribute information about the response.

Keywords

62F12, 62J05, Abundant regressions, Dimension reduction, sparse regressions

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