Specification and misspecification in reduced rank regression

MaRDI QIDQ3580339zbMATH OpenFDO

Authors T. W. Anderson

Publication date 12 August 2010

zbMATH Keywords

maximum likelihood estimatorstests of rankcanonical correlations and variates

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cited in

(10)

• Canonical correlation analysis and reduced rank regression in autoregressive models
• Asymptotic Expansion in Reduced Rank Regression Under Normality and Nonnormality
• The rank of reduced dispersion matrices
• Reduced Rank Models with Two Sets of Regressors
• Spurious inference in reduced-rank asset-pricing models
• Adaptive estimation of the rank of the coefficient matrix in high-dimensional multivariate response regression models
• Stability Approach to Regularization Selection for Reduced-Rank Regression
• Rank estimation in reduced-rank regression
• Optimal selection of reduced rank estimators of high-dimensional matrices
• Signal extraction approach for sparse multivariate response regression

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