Adaptive estimation of the rank of the coefficient matrix in high-dimensional multivariate response regression models
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Publication:2284369
DOI10.1214/18-AOS1774zbMath1477.62140arXiv1704.02381OpenAlexW2982589482MaRDI QIDQ2284369
Publication date: 15 January 2020
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1704.02381
dimension reductionoracle inequalitiesrank consistencymultivariate response regressionself-tuningadaptive rank estimationreduced rank estimator
Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15) Strong limit theorems (60F15)
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