JSM 2004 - Toronto

Abstract #301927

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Activity Number: 116
Type: Contributed
Date/Time: Monday, August 9, 2004 : 10:30 AM to 12:20 PM
Sponsor: General Methodology
Abstract - #301927
Title: Maximum Canonical Correlation Regression
Author(s): Mu Zhu*+
Companies: University of Waterloo
Address: 200 University Ave. W, Waterloo, ON, N2L 3G1, Canada
Keywords: Lagrange multipliers ; marketing ; multivariate analysis ; penalized least squares ; projection
Abstract:

Suppose we want to make predictions using variables that are different from the ones we have in the training data. What makes this possible is the availability of a small pilot study from which some information can be obtained on the joint behavior of these different sets of predictors. Using both the training data and data from the pilot study, we can then solve a simultaneous optimization problem that combines least-squares regression and canonical correlation analysis. We show what the solution looks like in a simple case, look at some examples and briefly discuss directions for further research.


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Revised March 2004