Indirect multivariate response linear regression

DOI10.1093/BIOMET/ASW034MaRDI QIDQ5384397zbMATHOpenAlexFDO

Authors Aaron J. Molstad, Adam J. Rothman

Publication date 24 June 2019

Published in Biometrika (Search for Journal in Brave)

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

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)

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.

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Cited in

(9)

• An Explicit Mean-Covariance Parameterization for Multivariate Response Linear Regression
• Predicting Multivariate Response in Linear Regression Model
• On Sure Screening with Multiple Responses
• Non-convex penalized multitask regression using data depth-based penalties
• 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
• Multivariate sparse Laplacian shrinkage for joint estimation of two graphical structures
• A cluster elastic net for multivariate regression

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