Reduced rank regression with matrix projections for high-dimensional multivariate linear regression model

DOI10.1214/21-EJS1895zbMath1471.62291OpenAlexW3200188349MaRDI QIDQ2233570

Mengjie Bian, Wenxing Guo, Narayanaswamy Balakrishnan

Publication date: 11 October 2021

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/journals/electronic-journal-of-statistics/volume-15/issue-2/Reduced-rank-regression-with-matrix-projections-for-high-dimensional-multivariate/10.1214/21-EJS1895.full

zbMATH Keywords

dimension reductionhigh-dimensional datareduced rank regressionmultivariate linear regression modelmatrix projection

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Parametric inference under constraints (62F30) Linear inference, regression (62J99)

Uses Software

• PMA

Cites Work

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