Low rank multivariate regression
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Abstract: We consider in this paper the multivariate regression problem, when the target regression matrix is close to a low rank matrix. Our primary interest in on the practical case where the variance of the noise is unknown. Our main contribution is to propose in this setting a criterion to select among a family of low rank estimators and prove a non-asymptotic oracle inequality for the resulting estimator. We also investigate the easier case where the variance of the noise is known and outline that the penalties appearing in our criterions are minimal (in some sense). These penalties involve the expected value of the Ky-Fan quasi-norm of some random matrices. These quantities can be evaluated easily in practice and upper-bounds can be derived from recent results in random matrix theory.
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Cited in
(24)- High-dimensional regression with unknown variance
- Low rank multivariate regression
- Low-rank regularization in two-sided matrix regression
- Finding the largest low-rank clusters with Ky Fan 2-k-norm and _1-norm
- Low-rank matrix recovery with Ky Fan 2-\(k\)-norm
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- Variable selection in multivariate linear regression with random predictors
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- scientific article; zbMATH DE number 7506682 (Why is no real title available?)
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