When performing a regression with the plsregress command in matlab, you specify the number of components when you fit the model like this:
ncomp = 100;
[XL,YL,XS,YS,BETA,PCTVAR] = plsregress(X,Y,ncomp);
But say I wanted to test the performance of all number of components up to 100 (so 1 component, then 2, then 3, then 4..), how can I get the regression coefficients (BETA) for that? Do I really have to repeat the model a hundred times like this:
[XL,YL,XS,YS,BETA1,PCTVAR] = plsregress(X,Y,1);
[XL,YL,XS,YS,BETA2,PCTVAR] = plsregress(X,Y,2);
[XL,YL,XS,YS,BETA3,PCTVAR] = plsregress(X,Y,3);
… and so on up to 100
That seems unreasonable. Is there a faster way to get the regression coefficients for a lower number of components than the one specified when creating the model?
Thanks.
