On Cross-Validation for Sparse Reduced Rank Regression

DOI10.1111/rssb.12295zbMath1407.62195arXiv1812.11555OpenAlexW2898542396WikidataQ129032768 ScholiaQ129032768MaRDI QIDQ3120104

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Publication date: 1 March 2019

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1812.11555

zbMATH Keywords

cross-validationvariable selectioninformation criterionlow rank estimationscale-free regularization

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Generalized linear models (logistic models) (62J12)

Related Items (5)

Gaining Outlier Resistance With Progressive Quantiles: Fast Algorithms and Theoretical Studies ⋮ Sparse Reduced Rank Huber Regression in High Dimensions ⋮ Low-Rank Regression Models for Multiple Binary Responses and their Applications to Cancer Cell-Line Encyclopedia Data ⋮ Stability Approach to Regularization Selection for Reduced-Rank Regression ⋮ Recovery of simultaneous low rank and two-way sparse coefficient matrices, a nonconvex approach

Uses Software

• R
• PMA

Cites Work

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