Reduced rank regression based on hard-thresholding singular value penalization

MaRDI QIDQ4996485zbMATH OpenFDO

Authors Hongming Xu

Publication date 1 July 2021

zbMATH Keywords

hard-thresholdingreduced rank regressionsingular value decompositionsingular value penalty

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)

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(6)

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• Parametric and semiparametric reduced-rank regression with flexible sparsity
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• Reduced rank stochastic regression with a sparse singular value decomposition
• Reduced rank vector generalized linear models for feature extraction
• Nonconvex penalized reduced rank regression and its oracle properties in high dimensions

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