Reduced rank regression with matrix projections for high-dimensional multivariate linear regression model

DOI10.1214/21-EJS1895zbMATH Open1471.62291OpenAlexW3200188349MaRDI QIDQ2233570FDOQ2233570

Authors: Wenxing Guo, Mengjie Bian, Narayanaswamy Balakrishnan 

Publication date: 11 October 2021

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/journals/electronic-journal-of-statistics/volume-15/issue-2/Reduced-rank-regression-with-matrix-projections-for-high-dimensional-multivariate/10.1214/21-EJS1895.full

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zbMATH Keywords

dimension reductionhigh-dimensional datareduced rank regressionmultivariate linear regression modelmatrix projection

Mathematics Subject Classification ID

Linear inference, regression (62J99) Estimation in multivariate analysis (62H12) Parametric inference under constraints (62F30)

Cites Work

• A penalized matrix decomposition, with applications to sparse principal components and canonical correlation analysis
• Reduced rank regression via adaptive nuclear norm penalization
• Bagging predictors
• Regularized multivariate regression for identifying master predictors with application to integrative genomics study of breast cancer
• Estimating Heteroscedastic Variances in Linear Models
• Reduced rank ridge regression and its kernel extensions
• Finding structure with randomness: probabilistic algorithms for constructing approximate matrix decompositions
• Multivariate reduced-rank regression
• Dimension Reduction and Coefficient Estimation in Multivariate Linear Regression
• Random-projection Ensemble Classification
• Optimal selection of reduced rank estimators of high-dimensional matrices
• Random Projections for Large-Scale Regression
• An Introduction to Matrix Concentration Inequalities
• A trace inequality of John von Neumann
• Asymptotic distribution of the reduced rank regression estimator under general conditions
• Randomized Sketches of Convex Programs With Sharp Guarantees
• Title not available (Why is that?)
• Iterative Hessian sketch: fast and accurate solution approximation for constrained least-squares
• Statistical properties of sketching algorithms
• On principal components regression, random projections, and column subsampling
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• Newton Sketch: A Near Linear-Time Optimization Algorithm with Linear-Quadratic Convergence

Cited In (4)

• Rank reduction for high-dimensional generalized additive models
• Title not available (Why is that?)
• A Relaxed Iterative Projection Algorithm for Rank-Deficient Regression Problems
• Optimal selection of reduced rank estimators of high-dimensional matrices

Uses Software

• PMA

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