PLS regression replaces the initial space of the (many) regressors by a low-dimensionality space spanned by a small number of variables called "factors", or "latent variables". Factors are built iteratively.
Teach Me Data Analysis - The NIPALS Algorithm
NIPALS algorithm for PLS regression
Principal Component Analysis (PCA) and NIPALS algorithm
Comments on the NIPALS algorithm (requires subscription) ...
 See also: Regression, Regularization, Multiple Linear Regression, Generalization, Variance
  
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