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Tolerance and Condition in Regression Computations

 

作者: KennethN. Berk,  

 

期刊: Journal of the American Statistical Association  (Taylor Available online 1977)
卷期: Volume 72, issue 360  

页码: 863-866

 

ISSN:0162-1459

 

年代: 1977

 

DOI:10.1080/01621459.1977.10479972

 

出版商: Taylor & Francis Group

 

关键词: Regression;Tolerance;Condition;Variance inflation factors

 

数据来源: Taylor

 

摘要:

Many regression programs include a tolerance test that does not allow a variable to enter the regression if its correlation with the previously entered variables exceeds a specified level. This is done to achieve computational stability by assuring that the correlation matrixCof the independent variables is not nearly singular. However, for any specified tolerance level, there is an example in which the entering variables pass the tolerance test but the computation is extremely unstable. A bound for the condition ofCisptimes the trace ofC-1, which can be monitored instead of tolerance to assure stability.

 

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