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Revision: Variance Inflation in Regression

机译:修订:回归中的方差膨胀

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Variance Inflation Factors (VIFs) are reexamined as conditioning diagnostics for models with intercept, with and without centering regressors to their means as oft debated. Conventional VIFs, both centered and uncentered, are flawed. To rectify matters, two types of orthogonality are noted: vector-space orthogonality and uncorrelated centered regressors. The key to our approach lies in feasible Reference models encoding orthogonalities of these types. For models with intercept it is found that (i)uncentered VIFs are not ratios of variances as claimed, owing to infeasible Reference models; (ii) instead they supply informative angles between subspaces of regressors; (iii) centered VIFs are incomplete if not misleading, masking collinearity of regressors withthe intercept; and (iv)variance deflationmay occur, where ill-conditioned data yield smaller variances than their orthogonal surrogates. Conventional VIFs have all regressors linked, or none, often untenable in practice. Beyond these, our models enable the unlinking of regressors that can be unlinked, while preserving dependence among those intrinsically linked. Moreover, known collinearity indices are extended to encompass angles between subspaces of regressors. To reaccess ill-conditioned data, we consider case studies ranging from elementary examples to data from the literature.
机译:方差通货膨胀因子(VIF)作为具有条件截距的模型的条件诊断方法进行了重新检查,正如人们经常争论的那样,在有或没有将回归器居中的情况下,都可以对它们进行调节。常规的VIF(居中和未居中)都有缺陷。为了纠正问题,注意了两种类型的正交性:向量空间正交性和不相关的中心回归器。我们方法的关键在于对这些类型的正交性进行编码的可行参考模型。对于具有截距的模型,发现:(i)由于不可行的参考模型,未居中的VIF并非所要求的方差比; (ii)相反,它们提供了回归子子空间之间的信息角度; (iii)居中的VIF如果不引起误解,则是不完整的,从而掩盖了回归函数与截距的共线性; (iv)可能出现方差缩小,其中病态数据产生的方差小于其正交替代的方差。常规的VIF使所有回归变量链接在一起,或者没有链接,实际上在实践中是站不住脚的。除此之外,我们的模型还可以使可以取消链接的回归器取消链接,同时保留了那些内部链接的回归器之间的依赖性。此外,已知的共线性指数被扩展为涵盖回归子的子空间之间的角度。为了重新获得病态数据,我们考虑案例研究,从基本示例到文献数据。

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