Joint variable and rank selection for parsimonious estimation of high-dimensional matrices

DOI10.1214/12-AOS1039zbMath1373.62246arXiv1110.3556MaRDI QIDQ741790

Yiyuan She, Florentina Bunea, Marten H. Wegkamp

Publication date: 15 September 2014

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1110.3556

zbMATH Keywords

dimension reductionadaptive estimationgroup Lassooracle inequalitiesmultivariate response regressionrank constrained minimizationreduced rank estimatorsrow and rank sparse models

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

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