1. A regression analysis method for obtaining an objective variable from multivariate data by performing, with a computer program stored in a computer readable medium, for controlling a computer, multiple linear regression analysis to obtain regression coefficient, comprising: a first input step of inputting a combination of the objective variable and the multivariate data; an obtaining step of obtaining a variance-covariance matrix having the combination of the multivariate data and the objective variable; a vector calculation step of calculating a plurality of eigenvalues and corresponding eigenvectors by eigenvalue decomposition of the variance-covariance matrix; an accumulated contributions calculation step of calculating accumulated contributions from the plurality of eigenvalues in descending order of absolute value of the plurality of eigenvalues; a regression coefficients calculation step of calculating regression coefficients from the eigenvalues and eigenvectors corresponding to the accumulated contributions that exceed a predetermined value; a second input step of inputting multivariate data that is not used in said regression coefficients calculation step; a calculation step of calculating, by the computer, the objective variable with respect to the multivariate data input in said second input step by using the regression coefficients calculated in said regression coefficients calculation step; and an output step of outputting the objective variable calculated in said calculation step.