A Comparative Study of Multivariate Analysis Techniques for Highly Correlated Variable Identification and Management

Abstract

In this work we attempt is to locate and analyze via multivariate analysis techniques, highly correlated covariates (factors) which are interrelated with the Gross Domestic Product and therefore are affecting either on short-term or on long-term its shaping. For the analysis, feature selection techniques and model selection criteria are used. The case study focuses on annual data for Greece for the period 1980-2018.

Keywords

• multicollinearity
• correlation feature selection
• model selection criteria
• multivariate analysis
• principal component analysis