Multivariate regression shrinkage and selection by canonical correlation analysis

DOI10.1016/J.CSDA.2012.12.017zbMath1348.62203OpenAlexW2093597309MaRDI QIDQ333747

Baiguo An, Hansheng Wang, Jian-hua Guo

Publication date: 31 October 2016

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2012.12.017

zbMATH Keywords

canonical correlation analysismultivariate regressionselection consistencyadaptive Lassotuning parameter selection

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistical ranking and selection procedures (62F07)

Related Items (5)

Model selection in kernel ridge regression ⋮ Sparse Single Index Models for Multivariate Responses ⋮ Sparse canonical correlation analysis from a predictive point of view ⋮ Simultaneous selection of predictors and responses for high dimensional multivariate linear regression ⋮ Variable selection in multivariate linear regression with random predictors

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