Tag Archives: inverse regression

Overfitting by Inverse Regression

Wahl and Ammann 2006 reported that they could “get” something that was sort of HS-ish without principal component analysis. It wasn’t through a simple mean or CVM; it was through Mannian inverse regression. Juckes et al shows many reconstructions using “inverse regression”, mentioning in his conclusions that inverse regression caused over-concentration on a few proxies. […]