On cross-validation for sparse reduced rank regression
نویسندگان
چکیده
منابع مشابه
Sparse Reduced Rank Regression With Nonconvex Regularization
In this paper, the estimation problem for sparse reduced rank regression (SRRR) model is considered. The SRRR model is widely used for dimension reduction and variable selection with applications in signal processing, econometrics, etc. The problem is formulated to minimize the least squares loss with a sparsity-inducing penalty considering an orthogonality constraint. Convex sparsity-inducing ...
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ژورنال
عنوان ژورنال: Journal of the Royal Statistical Society: Series B (Statistical Methodology)
سال: 2018
ISSN: 1369-7412
DOI: 10.1111/rssb.12295