Measuring the severity of multi-collinearity in high dimensions
Abstract
Multi-collinearity is a wide-spread phenomenon in modern statistical applications and when ignored, can negatively impact model selection and statistical inference. Classic tools and measures that were developed for "" data are not applicable nor interpretable in the high-dimensional regime. Here we propose 1) new individualized measures that can be used to visualize patterns of multi-collinearity, and subsequently 2) global measures to assess the overall burden of multi-collinearity without limiting the observed data dimensions. We applied these measures to genomic applications to investigate patterns of multi-collinearity in genetic variations across individuals with diverse ancestral backgrounds. The measures were able to visually distinguish genomic regions of excessive multi-collinearity and contrast the level of multi-collinearity between different continental populations.
Keywords
Cite
@article{arxiv.2203.10360,
title = {Measuring the severity of multi-collinearity in high dimensions},
author = {Wei Q. Deng and Radu V. Craiu and Lei Sun},
journal= {arXiv preprint arXiv:2203.10360},
year = {2022}
}