Sparse reduced-rank regression with covariance estimation

Lisha Chen; Jianhua Z. Huang

doi:10.1007/s11222-014-9517-6

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Sparse reduced-rank regression with covariance estimation

Lisha Chen Jianhua Z. Huang

Year: 2014 Journal: Statistics and Computing Vol: 26 (1-2)Pages: 461-470 Publisher: Springer Science+Business Media

DOI: 10.1007/s11222-014-9517-6

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Keywords:

Covariance Mathematics Regression analysis Covariance matrix Estimation of covariance matrices Regression Rank (graph theory) Linear regression Statistics Regression diagnostic Covariance function Bayesian multivariate linear regression Computer science Algorithm

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Sparse and Compressive Sensing Techniques

Physical Sciences → Engineering → Computational Mechanics

Statistical Methods and Inference

Physical Sciences → Mathematics → Statistics and Probability

Advanced Statistical Methods and Models

Physical Sciences → Mathematics → Statistics and Probability

Sparse reduced-rank regression with covariance estimation

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