Average group effect of strongly correlated predictor variables is estimable

2018/10/22 by Min Tsao, Tsao, Min
Chemistry · Mathematics · #62J05 #Advanced Statistical Methods and Models #FOS: Mathematics #Spectroscopy and Chemometric Analyses #Statistical Methods and Inference #Statistics Theory (math.ST)

paper · pdf · doi:10.48550/arxiv.1810.09564

openalex publication_date 2018/10/22 · openalex created_date 2018/10/26 · openalex updated_date 2026/07/28

Abstract

It is well known that individual parameters of strongly correlated predictor variables in a linear model cannot be accurately estimated by the least squares regression due to multicollinearity generated by such variables. Surprisingly, an average of these parameters can be extremely accurately estimated. We find this average and briefly discuss its applications in the least squares regression.

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