Hey, #RStats and other #statistics folks. Let's say I have a very large number of highly correlated variables and I want to find a series of linear combinations of those variables that are maximally correlated with a target measurement. What method would you use to find them?
Sparse Partial Least Squares sounds like what I need, but I get the strange results that all linear combinations are almost identical.
@eliocamp another thing to check is canonical correlation analysis
@dimokaramanlis I tried that. I might be missing something but the R function I used only returned one set of coefficients. Is that wrong?
