Reduced rank ridge regression and its kernel extensions

DOI10.1002/sam.10138OpenAlexW2153579905WikidataQ42110986 ScholiaQ42110986MaRDI QIDQ4969815

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Publication date: 14 October 2020

Published in: Statistical Analysis and Data Mining: The ASA Data Science Journal (Search for Journal in Brave)

Full work available at URL: http://europepmc.org/articles/pmc3444519

zbMATH Keywords

ridge regressionRKHSreduced rank regression

Mathematics Subject Classification ID

Statistics (62-XX) Computer science (68-XX)

Related Items (11)

Variable selection and collinearity processing for multivariate data via row-elastic-net regularization ⋮ Bayesian sparse reduced rank multivariate regression ⋮ On the oracle property of a generalized adaptive elastic-net for multivariate linear regression with a diverging number of parameters ⋮ Sparse reduced-rank regression for simultaneous rank and variable selection via manifold optimization ⋮ Sparse Reduced Rank Huber Regression in High Dimensions ⋮ Mining the factor zoo: estimation of latent factor models with sufficient proxies ⋮ Stability Approach to Regularization Selection for Reduced-Rank Regression ⋮ Reduced rank regression with matrix projections for high-dimensional multivariate linear regression model ⋮ Tensor-on-Tensor Regression ⋮ Leveraging mixed and incomplete outcomes via reduced-rank modeling ⋮ A note on rank reduction in sparse multivariate regression

Uses Software

• SDPT3

Cites Work

• Solving semidefinite-quadratic-linear programs using SDPT3
• Regularized multivariate regression for identifying master predictors with application to integrative genomics study of breast cancer
• Reduced-rank regression for the multivariate linear model
• Multivariate reduced-rank regression
• Dimension Reduction and Coefficient Estimation in Multivariate Linear Regression
• Regularization and Variable Selection Via the Elastic Net
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions
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