Parametric and semiparametric reduced-rank regression with flexible sparsity

DOI10.1016/J.JMVA.2015.01.013zbMATH Open1308.62144OpenAlexW2082315702MaRDI QIDQ2018603FDOQ2018603

Authors: Heng Lian, Kaifeng Zhao, Sanying Feng 

Publication date: 24 March 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2015.01.013

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zbMATH Keywords

additive modelsoracle inequalityreduced-rank regressionsparse group lasso

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05)

Cites Work

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Cited In (15)

• Sparse reduced-rank regression for simultaneous dimension reduction and variable selection
• Response variable selection in multivariate linear regression
• High-Dimensional Vector Autoregressive Time Series Modeling via Tensor Decomposition
• Bayesian sparse multiple regression for simultaneous rank reduction and variable selection
• Penalisation methods in fitting high-dimensional cointegrated vector autoregressive models: a review
• Sequential Scaled Sparse Factor Regression
• Trace regression model with simultaneously low rank and row(column) sparse parameter
• Nonconvex penalized reduced rank regression and its oracle properties in high dimensions
• Bayesian sparse reduced rank multivariate regression
• Semi-parametric order-based generalized multivariate regression
• On Cross-Validation for Sparse Reduced Rank Regression
• Joint variable and rank selection for parsimonious estimation of high-dimensional matrices
• Sparse reduced-rank regression with covariance estimation
• Softly shrunk and partially shrunk rank-reduced estimation of the regression coefficients
• Selective factor extraction in high dimensions

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