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Sparse Partial Least Squares Regression for Simultaneous Dimension Reduction and Variable Selection

Open access
Chun, Hyonho, Keleş, Sündüz·2010·Journal of the Royal Statistical Society Series B: Statistical Methodology

Abstract

Summary: Partial least squares regression has been an alternative to ordinary least squares for handling multicollinearity in several areas of scientific research since the 1960s. It has recently gained much attention in the analysis of high dimensional genomic data. We show that known asymptotic consistency of the partial least squares estimator for a univariate response does not hold with the very large p and small n paradigm. We derive a similar result for a multivariate response regression with partial least squares. We then propose a sparse partial least squares formulation which aims simultaneously to achieve good predictive performance and variable selection by producing sparse linear combinations of the original predictors. We provide an efficient implementation of sparse partial least squares regression and compare it with well-known variable selection and dimension reduction approaches via simulation experiments. We illustrate the practical utility of sparse partial least squares regression in a joint analysis of gene expression and genomewide binding data.

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Crossref · 10.1111/j.1467-9868.2009.00723.x

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Metadata

Authors
Chun, H., & Keleş, S.
Venue
Journal of the Royal Statistical Society Series B: Statistical Methodology
Published
2010-01-01
Volume
72
Issue
1
Pages
3-25
ISSN
  • 1369-7412 (ISSN-L)
  • 1467-9868
OpenAlex
W2170917242
Cited by
908
References
29
FWCI
26.93
Type
journal article
Language
en
Open access
bronze

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CoChat. (2026). Citation check: Sparse Partial Least Squares Regression for Simultaneous Dimension Reduction and Variable Selection. https://app.cochat.ai/papers/10.1111/j.1467-9868.2009.00723.x
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Chun, H., & Keleş, S. (2010). Sparse Partial Least Squares Regression for Simultaneous Dimension Reduction and Variable Selection. Journal of the Royal Statistical Society Series B: Statistical Methodology. https://doi.org/10.1111/j.1467-9868.2009.00723.x

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