On the degrees of freedom of mixed matrix regression

DOI10.1155/2017/6942865MaRDI QIDQ1993055zbMATH OpenOpenAlexFDO

Authors Pan Shang, Lingchen Kong

Publication date 5 November 2018

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2017/6942865

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07)

Review text

Summary: With the increasing prominence of big data in modern science, data of interest are more complex and stochastic. To deal with the complex matrix and vector data, this paper focuses on the mixed matrix regression model. We mainly establish the degrees of freedom of the underlying stochastic model, which is one of the important topics to construct adaptive selection criteria for efficiently selecting the optimal model fit. Under some mild conditions, we prove that the degrees of freedom of mixed matrix regression model are the sum of the degrees of freedom of Lasso and regularized matrix regression. Moreover, we establish the degrees of freedom of nuclear-norm regularization multivariate regression. Furthermore, we prove that the estimates of the degrees of freedom of the underlying models process the consistent property.

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Cited in

(3)

• Calculating degrees of freedom in multivariate local polynomial regression
• Degrees of freedom in low rank matrix estimation
• The Degrees of Freedom of Partial Least Squares Regression

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