Nonconvex penalized reduced rank regression and its oracle properties in high dimensions

DOI10.1016/j.jmva.2015.09.023zbMath1328.62428OpenAlexW1763893606MaRDI QIDQ900821

Heng Lian, Yongdai Kim

Publication date: 23 December 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2015.09.023

zbMATH Keywords

model selectionnonconvex penaltyoracle propertyreduced rank regression

Mathematics Subject Classification ID

Linear regression; mixed models (62J05)

Related Items (1)

Envelope-based sparse reduced-rank regression for multivariate linear model

Cites Work

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