Sparse reduced-rank regression for simultaneous dimension reduction and variable selection

DOI10.1080/01621459.2012.734178zbMATH Open1258.62075OpenAlexW2141366416MaRDI QIDQ4904730FDOQ4904730

Authors: Jianhua Z. Huang, Li-Sha Chen 

Publication date: 31 January 2013

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01621459.2012.734178

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zbMATH Keywords

multivariate regressionsparsitypenalized least squaresStiefel manifoldslow rank matrix approximationgroup lasso penalty

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Numerical optimization and variational techniques (65K10) Estimation in multivariate analysis (62H12)

Cites Work

• The Adaptive Lasso and Its Oracle Properties
• Pathwise coordinate optimization
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• Regularized multivariate regression for identifying master predictors with application to integrative genomics study of breast cancer
• Modern Multivariate Statistical Techniques
• The Geometry of Algorithms with Orthogonality Constraints
• Reduced-rank regression for the multivariate linear model
• On the adaptive elastic net with a diverging number of parameters
• Procrustes Problems
• Input selection and shrinkage in multiresponse linear regression
• A note on adaptive group Lasso
• Asymptotic distribution of the reduced rank regression estimator under general conditions

Cited In (90)

• Capturing between-tasks covariance and similarities using multivariate linear mixed models
• Multivariate sparse Laplacian shrinkage for joint estimation of two graphical structures
• Multiblock latent root regression. Application to epidemiological data
• Generalized co-sparse factor regression
• Parallel integrative learning for large-scale multi-response regression with incomplete outcomes
• Dimensionality reduction approach to multivariate prediction
• Principal single-index varying-coefficient models for dimension reduction in quantile regression
• Parametric and semiparametric reduced-rank regression with flexible sparsity
• Recovery of simultaneous low rank and two-way sparse coefficient matrices, a nonconvex approach
• Simultaneous dimension reduction and variable selection in modeling high dimensional data
• An Explicit Mean-Covariance Parameterization for Multivariate Response Linear Regression
• Simultaneous estimation and inference for multiple response variables
• High-dimensional consistency of rank estimation criteria in multivariate linear model
• Sparse minimum discrepancy approach to sufficient dimension reduction with simultaneous variable selection in ultrahigh dimension
• Robust reduced-rank modeling via rank regression
• Multivariate response regression with low-rank and generalized sparsity
• A two-stage sequential conditional selection approach to sparse high-dimensional multivariate regression models
• Recent advances in statistical methodologies in evaluating program for high-dimensional data
• Estimation of conditional mean operator under the bandable covariance structure
• Bayesian sparse multiple regression for simultaneous rank reduction and variable selection
• Estimating a sparse reduction for general regression in high dimensions
• Variable screening in multivariate linear regression with high-dimensional covariates
• On Sure Screening with Multiple Responses
• Sparse principal component regression with adaptive loading
• Reduced rank regression with possibly non-smooth criterion functions: an empirical likelihood approach
• Multivariate variable selection by means of null-beamforming
• A principal varying-coefficient model for quantile regression: joint variable selection and dimension reduction
• Alternating DCA for reduced-rank multitask linear regression with covariance matrix estimation
• Multivariate regression shrinkage and selection by canonical correlation analysis
• Dimensionality reduction and variable selection in multivariate varying-coefficient models with a large number of covariates
• Dimension-wise sparse low-rank approximation of a matrix with application to variable selection in high-dimensional integrative analyzes of association
• Nonconvex penalized reduced rank regression and its oracle properties in high dimensions
• Sparse and kernel OPLS feature extraction based on eigenvalue problem solving
• Leveraging mixed and incomplete outcomes via reduced-rank modeling
• Simultaneous selection of predictors and responses for high dimensional multivariate linear regression
• Ultra high-dimensional multivariate posterior contraction rate under shrinkage priors
• On the oracle property of a generalized adaptive elastic-net for multivariate linear regression with a diverging number of parameters
• Envelope-based sparse partial least squares
• Bayesian sparse reduced rank multivariate regression
• Envelope-based sparse reduced-rank regression for multivariate linear model
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• On Cross-Validation for Sparse Reduced Rank Regression
• Sparse reduced-rank regression for multivariate varying-coefficient models
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• Sparse reduced-rank regression with covariance estimation
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• Reduced-rank multi-label classification
• Large-scale multivariate sparse regression with applications to UK Biobank
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• Sparse Reduced Rank Huber Regression in High Dimensions
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• On the Use of Minimum Penalties in Statistical Learning
• D4R: doubly robust reduced rank regression in high dimension
• The EAS approach to variable selection for multivariate response data in high-dimensional settings
• Negative binomial factor regression with application to microbiome data analysis
• Scalable Model-Free Feature Screening via Sliced-Wasserstein Dependency
• Mining the factor zoo: estimation of latent factor models with sufficient proxies
• Penalized spline estimation of principal components for sparse functional data: rates of convergence
• Analysis of double single index models
• Response variable selection in multivariate linear regression
• Dimension Reduction for Integrative Survival Analysis
• Summaries of three keynote lectures at the SAE – 2018
• High-Dimensional Vector Autoregressive Time Series Modeling via Tensor Decomposition
• Sparse vector error correction models with application to cointegration‐based trading
• Penalisation methods in fitting high-dimensional cointegrated vector autoregressive models: a review
• Stability Approach to Regularization Selection for Reduced-Rank Regression
• Envelopes and principal component regression
• A Review of Envelope Models
• A Stratified Penalized Kernel Method for Semiparametric Variable Labeling and Estimation of Multi-Output Time-Varying Coefficient Models for Nonstationary Time Series
• Sequential Scaled Sparse Factor Regression
• Consistent Bayesian information criterion based on a mixture prior for possibly high‐dimensional multivariate linear regression models
• Simultaneous Dimension Reduction and Variable Selection for Multinomial Logistic Regression
• Covariate‐driven factorization by thresholding for multiblock data
• Dimensionality reduction for regularization of sparse data-driven RANS simulations
• Estimation and visualization of heterogeneous treatment effects for multiple outcomes
• Projection correlation between scalar and vector variables and its use in feature screening with multi-response data
• Integrative sparse reduced-rank regression via orthogonal rotation for analysis of high-dimensional multi-source data
• Asymptotically faster estimation of high-dimensional additive models using subspace learning
• Low-Rank Regression Models for Multiple Binary Responses and their Applications to Cancer Cell-Line Encyclopedia Data
• Reduced rank regression based on hard-thresholding singular value penalization
• Multivariate spatiotemporal models with low rank coefficient matrix
• A fully Bayesian approach to sparse reduced-rank multivariate regression
• Bayesian tensor response regression with an application to brain activation studies
• Asymptotic properties of adaptive group Lasso for sparse reduced rank regression
• An approach of Bayesian variable selection for ultrahigh-dimensional multivariate regression

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