A new measure of multicollinearity in linear regression models

被引：0
|
作者：
Kovács, P
Petres, T
Tóth, L
机构：
[1] Univ Szeged, Dept Stat & Demog, H-6720 Szeged, Hungary
[2] Natl Commun Author, Budapest, Hungary
来源：
INTERNATIONAL STATISTICAL REVIEW | 2005年 / 73卷 / 03期
关键词：
redundancy of databases; multicollinearity; spectral decomposition of the correlation matrix;
D O I：
暂无
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Databases with a lot of data very often mean little information. It is because of the collinearity of variables which consist of the data of the database. This collinearity is in fact a kind of redundancy of the database. In the study a new indicator is given. With this indicator, which contains the eigenvalues of the variables' correlation matrix, it is possible to quantify the percentage of collinearity: from 0% (all the eigenvalues are equal to 1) to 100% (all the eigenvalues, except the first, are equal to 0).
引用
收藏
页码：405 / 412
页数：8
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