On estimation in the reduced-rank regression with a large number of responses and predictors

DOI10.1016/j.jmva.2015.06.004zbMath1323.62053arXiv1409.6779OpenAlexW621744988MaRDI QIDQ495393

Vladislav Kargin

Publication date: 10 September 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.6779

zbMATH Keywords

random matriceshigh-dimensional datafactor modelTracy-Widom distributionreduced-rank regressionrank estimationrank selection

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20) Random matrices (probabilistic aspects) (60B20) Random matrices (algebraic aspects) (15B52)

Related Items (4)

Generalized canonical correlation variables improved estimation in high dimensional seemingly unrelated regression models ⋮ Mining the factor zoo: estimation of latent factor models with sufficient proxies ⋮ On the convergence of rank-one multi-target linear regression ⋮ Random matrix theory and its applications

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