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R Statistical Application Development by Example Beginner's Guide by Prabhanjan Narayanachar Tattar

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The multicollinearity problem

One of the important assumptions of the multiple linear regression model is that the covariates are linearly independent. The linear independence here is the sense of Linear Algebra that a vector (covariate in our context) cannot be expressed as a linear combination of others. Mathematically, this assumption translates into an implication that The multicollinearity problem is nonsingular, or that its determinant is non-zero. If this is not the case then we have one or more of the following problems:

  • The estimated The multicollinearity problem will be unreliable, and there is ...

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