Variance inflation factor


In statistics, the variance inflation factor (VIF) is the ratio (quotient) of the variance of a parameter estimate when fitting a full model that includes other parameters to the variance of the parameter estimate if the model is fit with only the parameter on its own.[1] The VIF provides an index that measures how much the variance (the square of the estimate's standard deviation) of an estimated regression coefficient is increased because of collinearity.

Cuthbert Daniel claims to have invented the concept behind the variance inflation factor, but did not come up with the name.[2]

  1. ^ James, Gareth; Witten, Daniela; Hastie, Trevor; Tibshirani, Robert (2017). An Introduction to Statistical Learning (8th ed.). Springer Science+Business Media New York. ISBN 978-1-4614-7138-7.
  2. ^ Snee, Ron (1981). Origins of the Variance Inflation Factor as Recalled by Cuthbert Daniel (Technical report). Snee Associates.