3.6. Partial Least Squares¶
Partial least squares (PLS) models are useful to find linear relations between two multivariate datasets: in PLS the X and Y arguments of the fit method are 2D arrays.
PLS finds the fundamental relations between two matrices (X and Y): it is a latent variable approach to modeling the covariance structures in these two spaces. A PLS model will try to find the multidimensional direction in the X space that explains the maximum multidimensional variance direction in the Y space. PLS-regression is particularly suited when the matrix of predictors has more variables than observations, and when there is multicollinearity among X values. By contrast, standard regression will fail in these cases.