Reduced rank ridge regression and its kernel extensions
نویسندگان
چکیده
منابع مشابه
Reduced rank ridge regression and its kernel extensions
In multivariate linear regression, it is often assumed that the response matrix is intrinsically of lower rank. This could be because of the correlation structure among the prediction variables or the coefficient matrix being lower rank. To accommodate both, we propose a reduced rank ridge regression for multivariate linear regression. Specifically, we combine the ridge penalty with the reduced...
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ژورنال
عنوان ژورنال: Statistical Analysis and Data Mining
سال: 2011
ISSN: 1932-1864
DOI: 10.1002/sam.10138