Bayesian sparse reduced rank multivariate regression

DOI10.1016/J.JMVA.2017.02.007zbMATH Open1362.62140OpenAlexW2593168166WikidataQ47841629 ScholiaQ47841629MaRDI QIDQ2397124FDOQ2397124

Authors: Gyuhyeong Goh, Kun Chen, Dipak K. Dey 

Publication date: 29 May 2017

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2017.02.007

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zbMATH Keywords

Bayesiansparsityposterior consistencyrank reductionlow rank

Mathematics Subject Classification ID

Bayesian inference (62F15) Factor analysis and principal components; correspondence analysis (62H25) Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cited In (13)

• Bayesian analysis of reduced rank regression
• Multivariate response regression with low-rank and generalized sparsity
• Sequential Scaled Sparse Factor Regression
• Stochastic complexities of reduced rank regression in Bayesian estimation
• Bayesian sparse seemingly unrelated regressions model with variable selection and covariance estimation via the horseshoe+
• Bayesian Generalized Sparse Symmetric Tensor-on-Vector Regression
• A reduced-rank approach to predicting multiple binary responses through machine learning
• Ultra high-dimensional multivariate posterior contraction rate under shrinkage priors
• Sparse Bayesian Methods for Low-Rank Matrix Estimation
• Algorithm for orthogonal matrix nearness and its application to feature representation
• Sparse reduced-rank regression for multivariate varying-coefficient models
• High-dimensional multivariate posterior consistency under global-local shrinkage priors
• Sparse reduced-rank regression with covariance estimation

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