Specification and misspecification in reduced rank regression

zbMATH Open1192.62145MaRDI QIDQ3580339FDOQ3580339

Authors: T. W. Anderson 

Publication date: 12 August 2010

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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)

Cited In (10)

• 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
• Canonical correlation analysis and reduced rank regression in autoregressive models

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