variance inflation factor

Variance Inflation Factor, VIF

The VIF is the ratio of the variance of ${\hat{\beta }}_j$ when fitting the full model divided by the variance of ${\hat{\beta }}_j$ if fit on its own.

$$\mathrm{VIF}\left({\hat{\beta }}_j\right)=\frac{1}{1-R_{X_j{\text{midX}}_{-j}}^2}$$

$R_{X_j\mid X_{-j}}^2$ is the $R^2$(R-squared) from a regression of $X_j$

B) 특징

• The smallest possible value for VIF is 1, which indicates the complete absence of collinearity.
• As a rule of thumb, a VIF value that exceeds 5 or 10 indicates a problematic amount of collinearity.

C) Related

D) References