Database Reference
In-Depth Information
estimates that are relatively large in absolute magnitude and may be of
inappropriate direction (negative or positive sign). When possible, the majority of
these correlated variables should be removed from the model or replaced by a new
variable that is a function of the correlated variables. For example, in a medical
application of regression,
height
and
weight
may be considered important input
variables, but these variables tend to be correlated. In this case, it may be useful
to use the Body Mass Index (BMI), which is a function of a person's height and
weight.
However, in some cases it may be necessary to use the correlated variables. The
next section provides some techniques to address highly correlated variables.
