论主成分和特征根回归估计的关系

ON RELATIONSHIPS BETWEEN THE PRINCIPAL COMPONENTS AND THE LATENT ROOT REGRESSION ESTIMATORS

摘要: 本文研究回归模型中回归系数的主成分估计与特征根估计之间的关系,得到了表示这两个估计之间的差别的表达式,并给出了这两个估计相重合的条件.

Abstract: This paper studies relationships between the principal components and the latent root estimators of regression coefficients in the regression model.An expression for the difference between the two esitmators is established.The two estimators are proved to be identical when there exist only collinearity among the explanatory variables.