Predicting Time Series With Partial Least Squares (PLS) Regression in Python

What are the Pros and Cons of this Algorithm?

Partial Least Squares (PLS) regression is a powerful statistical method that finds a linear regression model by projecting the predicted variables and the observable variables to a new space. It is particularly useful when you have a large set of predictor variables, especially when those variables are highly collinear (correlated) or when you have more…