Abstract
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).
Citation
Péter Kovács. Tibor Petres. László Tóth. "A New Measure of Multicollinearity in Linear Regression Models." Internat. Statist. Rev. 73 (3) 405 - 412, December 2005.
Information