Sparse reduced-rank regression with covariance estimation

DOI10.1007/s11222-014-9517-6zbMath1342.62117OpenAlexW1966315074MaRDI QIDQ2631378

Li-Sha Chen, Jianhua Z. Huang

Publication date: 29 July 2016

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-014-9517-6

zbMATH Keywords

variable selectiongroup Lassoreduced-rank regressioncovariance estimation

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

Related Items

Alternating DCA for reduced-rank multitask linear regression with covariance matrix estimation, On the oracle property of a generalized adaptive elastic-net for multivariate linear regression with a diverging number of parameters, Capturing between-tasks covariance and similarities using multivariate linear mixed models, An algorithm for the multivariate group lasso with covariance estimation

Uses Software

• glasso

Cites Work

• Unnamed Item
• Reduced rank regression via adaptive nuclear norm penalization
• Sparse inverse covariance estimation with the graphical lasso
• Estimation of (near) low-rank matrices with noise and high-dimensional scaling
• Optimal selection of reduced rank estimators of high-dimensional matrices
• Joint variable and rank selection for parsimonious estimation of high-dimensional matrices
• Regularized multivariate regression for identifying master predictors with application to integrative genomics study of breast cancer
• Input selection and shrinkage in multiresponse linear regression
• Reduced-rank regression for the multivariate linear model
• Multivariate reduced-rank regression
• Forecasting with many predictors: is boosting a viable alternative?
• The graphical lasso: new insights and alternatives
• Support union recovery in high-dimensional multivariate regression
• Modern Multivariate Statistical Techniques
• Model selection and estimation in the Gaussian graphical model
• Sparse Reduced-Rank Regression for Simultaneous Dimension Reduction and Variable Selection
• Dimension Reduction and Coefficient Estimation in Multivariate Linear Regression
• Model Selection and Estimation in Regression with Grouped Variables
• Reduced Rank Stochastic Regression with a Sparse Singular value Decomposition