Sparse Reduced-Rank Regression for Simultaneous Dimension Reduction and Variable Selection

DOI10.1080/01621459.2012.734178zbMath1258.62075OpenAlexW2141366416MaRDI QIDQ4904730

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

zbMATH Keywords

sparsity multivariate regression penalized least squares Stiefel manifolds low rank matrix approximation group lasso penalty

Mathematics Subject Classification ID

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

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