7.2 - Partial Least Squares (PLS)

Whereas in PCR the response variable, y, plays no role in identifying the principle component directions, in partial least squares (PLS), y supervises the identification of PLS directions (see pages 237-8 in the textbook for details on how this is done). Other than this key difference, PLS is similar to PCR in that we use cross-validation or test error to perform dimension reduction by selecting the number of PLS directions, and then we fit a multiple linear regression model to just these directions.

After completing the reading for this lesson, please finish the Quiz and R Lab on Canvas (check the course schedule for due dates).