On multivariate linear regression shrinkage and reduced-rank procedures

DOI10.1016/S0378-3758(99)00016-6zbMath1057.62524MaRDI QIDQ1125532

Gregory C. Reinsel

Publication date: 1999

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

zbMATH Keywords

Canonical correlation analysisMultivariate regressionPrediction mean square errorReduced rankShrinkage

Mathematics Subject Classification ID

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

Related Items (2)

Minimax multivariate empirical Bayes estimators under multicollinearity ⋮ Statistical inference for multivariate partially linear regression models

Cites Work

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• On multivariate ridge regression
• Multivariate regression analysis and canonical variates
• Empirical Bayes on vector observations: An extension of Stein's method
• Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions

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