Supervised singular value decomposition and its asymptotic properties

DOI10.1016/j.jmva.2015.02.016zbMath1336.62129OpenAlexW1992569964MaRDI QIDQ268716

Gen Li, Andrew B. Nobel, Haipeng Shen, Dan Yang

Publication date: 15 April 2016

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2015.02.016

zbMATH Keywords

principal component analysislow rank approximationreduced rank regressionsupervised dimension reductionSupSVD

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12)

Related Items (14)

High-Dimensional Vector Autoregressive Time Series Modeling via Tensor Decomposition ⋮ An introduction to recent advances in high/infinite dimensional statistics ⋮ Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors ⋮ Continuum directions for supervised dimension reduction ⋮ \textit{PESO}: Probabilistic evaluation of subspaces orthogonality for wideband DOA estimation ⋮ Augmented factor models with applications to validating market risk factors and forecasting bond risk premia ⋮ A Review of Envelope Models ⋮ Covariate‐driven factorization by thresholding for multiblock data ⋮ Functional Data Analysis with Covariate-Dependent Mean and Covariance Structures ⋮ Mining the factor zoo: estimation of latent factor models with sufficient proxies ⋮ Envelopes and principal component regression ⋮ Supervised functional principal component analysis ⋮ Supervised multiway factorization ⋮ Projected principal component analysis in factor models

Uses Software

• fda (R)
• JIVE

Cites Work

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