Introduction to Regression Procedures

Partial Least Squares Regression: The PLS Procedure

PROC PLS fits models by using any of a number of linear predictive methods, including partial least squares (PLS). Ordinary least squares regression, as implemented in the GLM or REG procedure, has the single goal of minimizing sample response prediction error by seeking linear functions of the predictors that explain as much variation in each response as possible. The techniques that are implemented in PROC PLS have the additional goal of accounting for variation in the predictors under the assumption that directions in the predictor space that are well sampled should provide better prediction for new observations when the predictors are highly correlated. All the techniques that are implemented in PROC PLS work by extracting successive linear combinations of the predictors, called factors (also called components or latent vectors), which optimally address one or both of these two goals—explaining response variation and explaining predictor variation. In particular, the method of partial least squares balances the two objectives, seeking factors that explain both response variation and predictor variation.