Joint variable and rank selection for parsimonious estimation of high-dimensional matrices

DOI10.1214/12-AOS1039zbMath1373.62246arXiv1110.3556MaRDI QIDQ741790

Yiyuan She, Florentina Bunea, Marten H. Wegkamp

Publication date: 15 September 2014

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1110.3556

zbMATH Keywords

dimension reductionadaptive estimationgroup Lassooracle inequalitiesmultivariate response regressionrank constrained minimizationreduced rank estimatorsrow and rank sparse models

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

Related Items

High-Dimensional Vector Autoregressive Time Series Modeling via Tensor Decomposition, Optimal large-scale quantum state tomography with Pauli measurements, Generalized co-sparse factor regression, Adaptive estimation in multivariate response regression with hidden variables, High-dimensional consistency of rank estimation criteria in multivariate linear model, Sparse reduced-rank regression with covariance estimation, Improved Estimation of High-dimensional Additive Models Using Subspace Learning, Sparse Single Index Models for Multivariate Responses, Unnamed Item, Robust reduced-rank modeling via rank regression, Reduced rank regression with possibly non-smooth criterion functions: an empirical likelihood approach, Joint rank and variable selection for parsimonious estimation in a high-dimensional finite mixture regression model, Bayesian sparse reduced rank multivariate regression, High-dimensional multivariate posterior consistency under global-local shrinkage priors, A principal varying-coefficient model for quantile regression: joint variable selection and dimension reduction, Exponential weights in multivariate regression and a low-rankness favoring prior, Model-based regression clustering for high-dimensional data: application to functional data, Sparse and Low-Rank Matrix Quantile Estimation With Application to Quadratic Regression, Integrative sparse reduced-rank regression via orthogonal rotation for analysis of high-dimensional multi-source data, Pairwise directions estimation for multivariate response regression data, Sparse Reduced Rank Huber Regression in High Dimensions, Scalable interpretable learning for multi-response error-in-variables regression, Low-Rank Regression Models for Multiple Binary Responses and their Applications to Cancer Cell-Line Encyclopedia Data, Nonconvex penalized reduced rank regression and its oracle properties in high dimensions, Analysis of Double Single Index Models, Estimating a sparse reduction for general regression in high dimensions, Nonconvex tensor rank minimization and its applications to tensor recovery, Parallel integrative learning for large-scale multi-response regression with incomplete outcomes, Sparse inference of the drift of a high-dimensional Ornstein-Uhlenbeck process, Parametric and semiparametric reduced-rank regression with flexible sparsity, Leveraging mixed and incomplete outcomes via reduced-rank modeling, Adaptive estimation of the rank of the coefficient matrix in high-dimensional multivariate response regression models, Recovery of simultaneous low rank and two-way sparse coefficient matrices, a nonconvex approach, Dimensionality Reduction and Variable Selection in Multivariate Varying-Coefficient Models With a Large Number of Covariates, Signal extraction approach for sparse multivariate response regression, A note on rank reduction in sparse multivariate regression, On Cross-Validation for Sparse Reduced Rank Regression, Unnamed Item

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Statistics for high-dimensional data. Methods, theory and applications.
• Estimation of high-dimensional low-rank matrices
• Estimation of (near) low-rank matrices with noise and high-dimensional scaling
• Optimal selection of reduced rank estimators of high-dimensional matrices
• Consistent group selection in high-dimensional linear regression
• Oracle inequalities and optimal inference under group sparsity
• Nuclear-norm penalization and optimal rates for noisy low-rank matrix completion
• Linear and nonlinear programming.
• On the convergence properties of the EM algorithm
• Minimizing a differentiable function over a differential manifold
• Multivariate reduced-rank regression
• Moderate projection pursuit regression for multivariate response data
• Least angle regression. (With discussion)
• An iterative algorithm for fitting nonconvex penalized generalized linear models with grouped predictors
• Honest variable selection in linear and logistic regression models via \(\ell _{1}\) and \(\ell _{1}+\ell _{2}\) penalization
• Low rank multivariate regression
• Simultaneous analysis of Lasso and Dantzig selector
• Modern Multivariate Statistical Techniques
• Tight Oracle Inequalities for Low-Rank Matrix Recovery From a Minimal Number of Noisy Random Measurements
• Model Selection and Estimation in Regression with Grouped Variables
• Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions
• Convergence of a block coordinate descent method for nondifferentiable minimization