Statistics and Computing

, Volume 5, Issue 3, pp 191–202

Implementing partial least squares

  • M. C. Denham
Papers

DOI: 10.1007/BF00142661

Cite this article as:
Denham, M.C. Stat Comput (1995) 5: 191. doi:10.1007/BF00142661

Abstract

Partial least squares (PLS) regression has been proposed as an alternative regression technique to more traditional approaches such as principal components regression and ridge regression. A number of algorithms have appeared in the literature which have been shown to be equivalent. Someone wishing to implement PLS regression in a programming language or within a statistical package must choose which algorithm to use. We investigate the implementation of univariate PLS algorithms within FORTRAN and the Matlab (1993) and Splus (1992) environments, comparing theoretical measures of execution speed based on flop counts with their observed execution times. We also comment on the ease with which the algorithms may be implemented in the different environments. Finally, we investigate the merits of using the orthogonal invariance of PLS regression to ‘improve’ the algorithms.

Keywords

regression Splus Matlab Fortran orthogonal invariance 

Copyright information

© Chapman & Hall 1995

Authors and Affiliations

  • M. C. Denham
    • 1
  1. 1.Department of Statistics and Computational MathematicsUniversity of LiverpoolLiverpoolUK
  2. 2.Department of Applied StatisticsUniversity of ReadingReadingUSA