High-dimensional consistency of rank estimation criteria in multivariate linear model

DOI10.1016/j.jmva.2016.04.005zbMath1341.62119OpenAlexW2347041411MaRDI QIDQ290726

Yasunori Fujikoshi, Tetsuro Sakurai

Publication date: 3 June 2016

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2016.04.005

zbMATH Keywords

discriminant analysisdimensionalityrankAICBICmultivariate linear model\(\mathrm{C}_p\)consistency propertyhigh-dimensional frameworkmultivariate regression modelridge-type criteriontuning parameter

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Measures of association (correlation, canonical correlation, etc.) (62H20)

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