On the convergence of rank-one multi-target linear regression

DOI10.1080/02331888.2021.1891236zbMath1468.62315OpenAlexW3130383833MaRDI QIDQ4987646

Pierre Courrieu

Publication date: 3 May 2021

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2021.1891236

zbMATH Keywords

multi-output linear regressionmulti-target linear regressionreduced rank multivariate regressionregression coefficient estimator consistency

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)

Uses Software

• Matlab
• ARPACK
• sedaR

Cites Work

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• On estimation in the reduced-rank regression with a large number of responses and predictors
• Optimal selection of reduced rank estimators of high-dimensional matrices
• Input selection and shrinkage in multiresponse linear regression
• Reduced-rank regression for the multivariate linear model
• Estimating the dimension of a model
• Multivariate reduced-rank regression
• Permutation, parametric and bootstrap tests of hypotheses.
• Generalized inverses. Theory and applications.
• Low rank multivariate regression
• Fast solving of weighted pairing least-squares systems
• Numerical methods for large eigenvalue problems
• ARPACK Users' Guide
• Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions

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