Collinearity: A Review of Methods to Deal with It and a Simulation Study Evaluating Their Performance

Abstract

Collinearity refers to the non independence of predictor variables, usually in a regression-type analysis. It is a common feature of any descriptive ecological data set and can be a problem for parameter estimation because it infl ates the variance of regression parameters and hence potentially leads to the wrong identifi cation of relevant predictors in a statistical model. Collinearity is a severe problem when a model is trained on data from one region or time, and predicted to another with a diff erent or unknown structure of collinearity. To demonstrate the reach of the problem of collinearity in ecology, we show how relationships among predictors diff er between biomes, change over spatial scales and through time. Across disciplines, diff erent approaches to addressing collinearity problems have been developed, ranging from clustering of predictors, threshold-based pre-selection, through latent variable methods, to shrinkage and regularisation. Using simulated data with fi ve predictor-response relationships of increasing complexity and eight levels of collinearity we compared ways to address collinearity with standard multiple regression and machine-learning approaches. We assessed the performance of each approach by testing its impact on prediction to new data. In the extreme, we tested whether the methods were able to identify the true underlying relationship in a training dataset with strong collinearity by evaluating its performance on a test dataset without any collinearity. We found that methods specifi cally designed for collinearity, such as latent variable methods and tree based models, did not outperform the traditional GLM and threshold-based pre-selection. Our results highlight the value of GLM in combination with penalised methods (particularly ridge) and threshold-based pre-selection when omitted variables are considered in the fi nal interpretation. However, all approaches tested yielded degraded predictions under change in collinearity structure and the ` folk lore ’ -thresholds of correlation coeffi cients between predictor variables of |r|  0.7 was an appropriate indicator for when collinearity begins to severely distort model estimation and subsequent prediction. Th e use of ecological understanding of the system in pre-analysis variable selection and the choice of the least sensitive statistical approaches reduce the problems of collinearity, but cannot ultimately solve them.

Publication
Ecography

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