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coefficients decorrélation multiple

RAIRO - Operations Research (1)

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Colinearité et Instabilité Numérique dans le Modèle Linéaire
Thierry Foucart
Journal:

RAIRO - Operations Research / Volume 34 / Issue 2 / April 2000

Published online by Cambridge University Press:

15 August 2002, pp. 199-212

Print publication:

April 2000
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In this paper we give the expression of the multiplecorrelation coefficient in a linear model according to the coefficientsof correlation. This expression makes it possible to analyze from anumerical point of view the instability of estimates in the case ofcollinear explanatory variables in the linear model or in theautoregressive model. This numerical approach, that we show on twoexamples, thus supplements the usual approach of the quasi colinearity,founded on the statistical properties of the estimators.