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If you're looking for the part of the signal in X that covaries with y, the first thing to try is partial least squares.
by hatmatrix 5y ago
If you're looking for the part of the signal in X that covaries with y, the first thing to try is partial least squares.
- mturmon 5y agoYes. In the simplified linear setting we're considering... If you want to do dimension reduction and only have X, use PCA. If you want to do dimension reduction and also have a "y", consider PLS or CCA (canonical correlation analysis). Some background: https://www.cs.cmu.edu/~tom/10701_sp11/slides/CCA_tutorial.pdf https://www.cs.cmu.edu/~tom/10701_sp11/slides/CCA_tutorial.p...