International Statistical Review

A New Measure of Multicollinearity in Linear Regression Models

Journal Article

Summary

Databases with a lot of data very often mean little information. It is because of the collinearity of variables which consist of the data of the database. This collinearity is in fact a kind of redundancy of the database.

In the study a new indicator is given. With this indicator, which contains the eigenvalues of the variables' correlation matrix, it is possible to quantify the percentage of collinearity: from 0% (all the eigenvalues are equal to 1) to 100% (all the eigenvalues, except the first, are equal to 0).

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