Asymptotic distribution of the reduced rank regression estimator under general conditions
DOI10.1214/AOS/1017938918zbMATH Open0961.62011OpenAlexW2037935457MaRDI QIDQ1568263FDOQ1568263
Authors: T. W. Anderson 
Publication date: 30 January 2001
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1017938918
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Multivariate distribution of statistics (62H10) Linear inference, regression (62J99) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12)
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- A Reduced-Rank Multivariate Regression Approach to Aquatic Joint Toxicity Experiments
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Cited In (25)
- Latent models for cross-covariance
- Asymptotic Expansion in Reduced Rank Regression Under Normality and Nonnormality
- Sparse reduced-rank regression for simultaneous dimension reduction and variable selection
- Reduced rank regression with matrix projections for high-dimensional multivariate linear regression model
- Asymptotic theory for maximum likelihood estimates in reduced-rank multivariate generalized linear models
- Specification and misspecification in reduced rank regression
- Asymptotic expansion and asymptotic robustness of the normal-theory estimators in the random regression model
- Robust reduced-rank modeling via rank regression
- Dimension Reduction for Integrative Survival Analysis
- Adaptive estimation of the rank of the coefficient matrix in high-dimensional multivariate response regression models
- Who's afraid of reduced-rank parameterizations of multivariate models? Theory and example
- Reduced-Rank Envelope Vector Autoregressive Model
- Reduced rank regression with possibly non-smooth criterion functions: an empirical likelihood approach
- Rank estimation in reduced-rank regression
- Envelopes for elliptical multivariate linear regression
- Nonconvex penalized reduced rank regression and its oracle properties in high dimensions
- Efficient estimation of reduced-rank partial envelope model in multivariate linear regression
- Envelope-based sparse reduced-rank regression for multivariate linear model
- Reduced-rank regression: a useful determinant identity
- On Cross-Validation for Sparse Reduced Rank Regression
- Optimal selection of reduced rank estimators of high-dimensional matrices
- A unified approach to power calculation and sample size determination for random regression models
- Regular Redescending Rank Estimates
- Canonical correlation analysis and reduced rank regression in autoregressive models
- Reduced rank regression in cointegrated models.
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