PLS fits closer than PCR

Abstract

Abstract PLS1 regression is generally viewed as lying in between PCR and OLS regression. Proof is given that the coefficient of determination, R 2 , for a PLS multivariate calibration model is at least as high as that for a PCR model with the same number of components. It appears that PLS can be linked to a correlation‐weighted polynomial regression of a constant response on the eigenvalues of the covariance matrix of the predictor variables.