Asymptotic distribution of the reduced rank regression estimator under general conditions

DOI10.1214/aos/1017938918zbMath0961.62011OpenAlexW2037935457MaRDI QIDQ1568263

T. W. Anderson

Publication date: 30 January 2001

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1017938918

zbMATH Keywords

maximum likelihood estimatorsreduced rank regression

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Linear inference, regression (62J99)

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Cites Work

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• Reduced-rank regression for the multivariate linear model
• Multivariate reduced-rank regression
• Asymptotic theory for canonical correlation analysis
• Bayesian analysis of reduced rank regression
• Use of canonical analysis in time series model identification
• Reduced rank models for multiple time series
• Nested Reduced-Rank Autogressive Models for Multiple Time Series
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• A Reduced-Rank Multivariate Regression Approach to Aquatic Joint Toxicity Experiments

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