Colinearité et Instabilité Numérique dans le Modèle Linéaire

Foucart, Thierry. "Colinearité et Instabilité Numérique dans le Modèle Linéaire." RAIRO - Operations Research 34.2 (2010): 199-212. <http://eudml.org/doc/197795>.

@article{Foucart2010,
abstract = { In this paper we give the expression of the multiple correlation coefficient in a linear model according to the coefficients of correlation. This expression makes it possible to analyze from a numerical point of view the instability of estimates in the case of collinear explanatory variables in the linear model or in the autoregressive model. This numerical approach, that we show on two examples, thus supplements the usual approach of the quasi colinearity, founded on the statistical properties of the estimators. },
author = {Foucart, Thierry},
journal = {RAIRO - Operations Research},
keywords = {Linear multiple model; collinearity; multiple correlation coefficients; symmetric definite positive matrix; Cholesky's factorization.; Modèle linéaire multiple; quasi colinéarité; coefficients de corrélation multiple; matrice symétrique définie positive; factorisation de Cholesky.; linear multiple model; multiple correlation coefficients; Cholesky's factorization},
language = {fre},
month = {3},
number = {2},
pages = {199-212},
publisher = {EDP Sciences},
title = {Colinearité et Instabilité Numérique dans le Modèle Linéaire},
url = {http://eudml.org/doc/197795},
volume = {34},
year = {2010},
}

TY - JOUR
AU - Foucart, Thierry
TI - Colinearité et Instabilité Numérique dans le Modèle Linéaire
JO - RAIRO - Operations Research
DA - 2010/3//
PB - EDP Sciences
VL - 34
IS - 2
SP - 199
EP - 212
AB - In this paper we give the expression of the multiple correlation coefficient in a linear model according to the coefficients of correlation. This expression makes it possible to analyze from a numerical point of view the instability of estimates in the case of collinear explanatory variables in the linear model or in the autoregressive model. This numerical approach, that we show on two examples, thus supplements the usual approach of the quasi colinearity, founded on the statistical properties of the estimators.
LA - fre
KW - Linear multiple model; collinearity; multiple correlation coefficients; symmetric definite positive matrix; Cholesky's factorization.; Modèle linéaire multiple; quasi colinéarité; coefficients de corrélation multiple; matrice symétrique définie positive; factorisation de Cholesky.; linear multiple model; multiple correlation coefficients; Cholesky's factorization
UR - http://eudml.org/doc/197795
ER -