The maximum likelihood estimate in reduced‐rank regression

DOI10.1002/NLA.447MaRDI QIDQ3599997zbMATH OpenOpenAlexFDO

Authors Lars Eldén, Berkant Savas

Publication date 9 February 2009

Published in Numerical Linear Algebra with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/nla.447

zbMATH Keywords

singular value decompositionprincipal angles\(LQ\) decomposition

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Numerical mathematical programming methods (65K05) Estimation in multivariate analysis (62H12) Numerical linear algebra (65F99)

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Cites work

• scientific article; zbMATH DE number 961607 (Why is no real title available?)
• Matrix Analysis

Cited in

(6)

• Rank reduction and James-Stein estimation.
• Reduced rank regression with possibly non-smooth criterion functions: an empirical likelihood approach
• scientific article; zbMATH DE number 782097 (Why is no real title available?)
• Dimensionality reduction and volume minimization -- generalization of the determinant minimization criterion for reduced rank regression problems
• Rank reduction and volume minimization approach to state-space subspace system identification
• On the smoothness of principal angles between subspaces and their application to angular values of dynamical systems

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