Collinearity and Alternative Estimates
Collinearity or multicollinearity refers to the problem in regression analysis of the columns of the model matrix being nearly linear dependent. Ideally, this is no problem at all. There are numerical difficulties associated with the actual computations, but there are no theoretical difficulties. If, however, one has any doubts about the accuracy of the model matrix, the analysis could be in deep trouble.
KeywordsCovariance Shrinkage Lasso
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