Variance Inflation Factor and Condition Number in multiple linear regression
Identificadores
URI: https://hdl.handle.net/10481/86563Metadatos
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Taylor and Francis
Materia
Multicolinealidad variance inflation factor condition number threshold
Fecha
2018-04-22Referencia bibliográfica
Salmerón, R., García, C.B. and García, J. (2018). Variance Inflation Factor and Condition Number in multiple linear regression. Journal of Statistical Computation and Simulation, 88(12), 2365-2384.
Resumen
The Variance Inflation Factor and the Condition Number are measures traditionally applied to detect the presence of collinearity in a multiple linear model. This paper presents the relation and the difference between both measures from theoretical and empirical perspectives by using Monte Carlo simulations and taking special interest in the computational techniques.