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| 条件指数× | 分散拡大係数(VIF)× | |
|---|---|---|
| 分野 | 計量経済学 | 計量経済学 |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 1980 | 1970 |
| 提唱者≠ | Belsley, Kuh & Welsch | Donald Marquardt |
| 種類≠ | Collinearity diagnostic index | Diagnostic statistic |
| 原典≠ | Belsley, D. A., Kuh, E., & Welsch, R. E. (1980). Regression Diagnostics: Identifying Influential Data and Sources of Collinearity. John Wiley & Sons. ISBN: 978-0-471-05856-4 | Marquardt, D. W. (1970). Generalized inverses, ridge regression, biased linear estimation, and nonlinear estimation. Technometrics, 12(3), 591–612. DOI ↗ |
| 別名 | Belsley Condition Index, Collinearity Condition Index, Singular Value Condition Index, Koşul İndeksi | VIF, Variance Inflation Index, Multicollinearity Inflation Factor, Varyans Enflasyon Faktörü |
| 関連≠ | 2 | 3 |
| 概要≠ | The Condition Index, introduced by Belsley, Kuh, and Welsch (1980), is a scalar measure derived from singular value decomposition of the scaled regressor matrix. It quantifies the degree of near-linear dependence among predictors in ordinary least squares regression, enabling analysts to detect collinearity that inflates coefficient variance and destabilises parameter estimates. Widely used in economics, social sciences, and biomedical research wherever OLS regression is applied. | The Variance Inflation Factor (VIF) is a scalar diagnostic statistic proposed by Donald Marquardt (1970) that quantifies how much the variance of an estimated regression coefficient increases due to linear dependence—multicollinearity—among the predictors in an ordinary least squares model. It is routinely applied in econometrics, social science, and biomedical research whenever analysts suspect that two or more independent variables move together closely enough to destabilize coefficient estimates. |
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