Who's afraid of reduced-rank parameterizations of multivariate models? Theory and example

DOI10.1016/J.JMVA.2005.10.002MaRDI QIDQ2489494zbMATH OpenOpenAlexFDO

Authors Scott Gilbert, Petr Zemčík

Publication date 28 April 2006

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

Full work available at URL https://opensiuc.lib.siu.edu/econ_dp/21

zbMATH Keywords

Asymptotic theoryCoefficient matrixMultivariate modelReduced-rankRegression

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05) Asymptotic properties of parametric estimators (62F12) Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15)

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Cited in

(3)

• Asymptotic theory for maximum likelihood estimates in reduced-rank multivariate generalized linear models
• A fully Bayesian approach to sparse reduced-rank multivariate regression
• Inference on covariance matrices under rank restrictions

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