Indirect multivariate response linear regression

DOI10.1093/BIOMET/ASW034zbMATH Open1506.62338arXiv1507.04610OpenAlexW2272001694MaRDI QIDQ5384397FDOQ5384397

Authors: Aaron J. Molstad, Adam J. Rothman 

Publication date: 24 June 2019

Published in: Biometrika (Search for Journal in Brave)

Abstract: We propose a new class of estimators of the multivariate response linear regression coefficient matrix that exploits the assumption that the response and predictors have a joint multivariate Normal distribution. This allows us to indirectly estimate the regression coefficient matrix through shrinkage estimation of the parameters of the inverse regression, or the conditional distribution of the predictors given the responses. We establish a convergence rate bound for estimators in our class and we study two examples. The first example estimator exploits an assumption that the inverse regression's coefficient matrix is sparse. The second example estimator exploits an assumption that the inverse regression's coefficient matrix is rank deficient. These estimators do not require the popular assumption that the forward regression coefficient matrix is sparse or has small Frobenius norm. Using simulation studies, we show that our example estimators outperform relevant competitors for some data generating models.

Full work available at URL: https://arxiv.org/abs/1507.04610

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zbMATH Keywords

covariance estimationsparsityreduced-rank regression

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Applications of statistics to biology and medical sciences; meta analysis (62P10) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cited In (9)

• Multivariate sparse Laplacian shrinkage for joint estimation of two graphical structures
• Predicting Multivariate Response in Linear Regression Model
• An Explicit Mean-Covariance Parameterization for Multivariate Response Linear Regression
• Inference for elliptical copula multivariate response regression models
• Response variable selection in multivariate linear regression
• Likelihood Ratio Test in Multivariate Linear Regression: from Low to High Dimension
• On Sure Screening with Multiple Responses
• A Cluster Elastic Net for Multivariate Regression
• Non-convex penalized multitask regression using data depth-based penalties

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