From: Obtaining insights from high-dimensional data: sparse principal covariates regression
Method
VAF
\(r(\hat {y},y)^{2}\)
\(r(\hat {y}_{2007},y_{2007})^{2}\)
SPCovR
0.19
0.42
0.79
spls
0.99
0.55
SGCCA
0.11
1
0.53