Dealing With Multicollinearity With R

Chaitanya Sagar explains the concept of multicollinearity in linear regressions and how we can mitigate this issue in R:

Perfect multicollinearity occurs when one independent variable is an exact linear combination of other variables. For example, you already have X and Y as independent variables and you add another variable, Z = a*X + b*Y, to the set of independent variables. Now, this new variable, Z, does not add any significant or different value than provided by X or Y. The model can adjust itself to set the parameters that this combination is taken care of while determining the coefficients.

Multicollinearity may arise from several factors. Inclusion or incorrect use of dummy variables in the system may lead to multicollinearity. The other reason could be the usage of derived variables, i.e., one variable is computed from other variables in the system. This is similar to the example we took at the beginning of the article. The other reason could be taking variables which are similar in nature or which provide similar information or the variables which have very high correlation among each other.

Multicollinearity can make regression analysis trickier, and it’s worth knowing about.  H/T R-bloggers.

Related Posts

Interpreting The Area Under The Receiver Operating Characteristic Curve

Roos Colman explains what a Receiver Operating Characteristic (ROC) curve is and how we interpret the Area Under the Curve (AUC): The AUC can be defined as “The probability that a randomly selected case will have a higher test result than a randomly selected control”. Let’s use this definition to calculate and visualize the estimated […]

Read More

Building A Neural Network In R With Keras

Pablo Casas walks us through Keras on R: One of the key points in Deep Learning is to understand the dimensions of the vector, matrices and/or arrays that the model needs. I found that these are the types supported by Keras. In Python’s words, it is the shape of the array. To do a binary […]

Read More

Categories

August 2018
MTWTFSS
« Jul Sep »
 12345
6789101112
13141516171819
20212223242526
2728293031