A note on rank reduction in sparse multivariate regression
نویسندگان
چکیده
منابع مشابه
Bayesian sparse reduced rank multivariate regression
Many modern statistical problems can be cast in the framework of multivariate regression, where the main task is to make statistical inference for a possibly sparse and low-rank coefficient matrix. The low-rank structure in the coefficient matrix is of intrinsic multivariate nature, which, when combined with sparsity, can further lift dimension reduction, conduct variable selection, and facilit...
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The reduced-rank regression is an effective method to predict multiple response variables from the same set of predictor variables, because it can reduce the number of model parameters as well as take advantage of interrelations between the response variables and therefore improve predictive accuracy. We propose to add a new feature to the reduced-rank regression that allows selection of releva...
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ژورنال
عنوان ژورنال: Journal of Statistical Theory and Practice
سال: 2015
ISSN: 1559-8608,1559-8616
DOI: 10.1080/15598608.2015.1081573