On multivariate linear regression shrinkage and reduced-rank procedures

DOI10.1016/S0378-3758(99)00016-6MaRDI QIDQ1125532zbMATH OpenFDO

Authors Gregory C. Reinsel

Publication date 1999

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0378-3758(99)00016-6

zbMATH Keywords

Canonical correlation analysisMultivariate regressionPrediction mean square errorReduced rankShrinkage

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cites work

• Adaptive multivariate ridge regression
• Empirical Bayes on vector observations: An extension of Stein's method
• Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions
• scientific article; zbMATH DE number 3156765 (Why is no real title available?)
• scientific article; zbMATH DE number 1086070 (Why is no real title available?)
• Inadmissibility of maximum likelihood estimators in some multiple regression problems with three or more independent variables
• Minimax estimators in the MANOVA model for arbitrary quadratic loss and unknown covariance matrix
• Minimax estimators in the normal MANOVA model
• Multivariate regression analysis and canonical variates
• On estimation of a matrix of normal means with unknown covariance matrix
• On multivariate ridge regression

Cited in

(11)

• Minimax multivariate empirical Bayes estimators under multicollinearity
• Who's afraid of reduced-rank parameterizations of multivariate models? Theory and example
• Statistical inference for multivariate partially linear regression models
• Multivariate regression shrinkage and selection by canonical correlation analysis
• scientific article; zbMATH DE number 4162031 (Why is no real title available?)
• scientific article; zbMATH DE number 4028661 (Why is no real title available?)
• On the convergence of rank-one multi-target linear regression
• ‘On the degrees of freedom of reduced-rank estimators in multivariate regression’
• Reducing data nonconformity in linear models
• Regularized reduced-rank regression for structured output prediction
• Softly shrunk and partially shrunk rank-reduced estimation of the regression coefficients

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