I am using both PLS and sPLS: sPLS always select 1 component using CV, although the Q2 score is negative. My aim is not really to build a predictive model (indeed, the RSS and PRESS are extremely large), but to understand the possible relationships between X and Y.
What I cannot understand, is that the Q2 score increases (but still negative) with later components (i.e., variates) when using PLS:
In the figure, the numbers in parenthesis represent the mean, min and max values. Shouldn’t the mean Q2 score decrease?