Multivariate reduced-rank regression

zbMath0909.62066MaRDI QIDQ1271110

Publication date: 4 November 1998

Published in: Lecture Notes in Statistics (Search for Journal in Brave)

GMANOVA reduced-rank regression SUR financial economics seemingly unrelated regression generalized multivariate analysis of variance dimension-reduction

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Measures of association (correlation, canonical correlation, etc.) (62H20) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Probabilistic methods, stochastic differential equations (65C99)

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