Partially reduced-rank multivariate regression models

Statistica Sinica

Volumn 16, Issue 3, 2006, Pages 899-917

  Reinsel, Gregory C ^a,c   Velu, Raja P ^b,d  

^a UNIVERSITY OF WISCONSIN MADISON   (United States)

^b SYRACUSE UNIVERSITY   (United States)

^c University of Wisconsin Madison   (United States)

^d SYRACUSE UNIVERSITY   (United States)

Author keywords

Canonical correlations; Covariance adjustment; Likelihood ratio test; Maximum likelihood estimator; Partially reduced rank regression; Partitioned coefficient matrix

Indexed keywords

EID: 33750980955     PISSN: 10170405     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (14)

1. Ahn, S. K. and Reinsel, G. C. (1988). Nested reduced-rank autoregressive models for multiple time series. J. Amer. Statist. Assoc. 83, 849-856.
2. Anderson, T. W. (1951). Estimating linear restrictions on regression coefficients for multivariate normal distributions. Ann. Math. Statist. 22, 327-351.
3. Anderson, T. W. (1984). An Introduction to Multivariate Statistical Analysis. 2nd edition. Wiley, New York.
4. Anderson, T. W. (1999). Asymptotic distribution of the reduced rank regression estimator under general conditions. Ann. Statist. 27, 1141-1154.
5. Breiman, L. and Friedman, J. H. (1997). Predicting multivariate responses in multiple linear regression (with discussion). J. Roy. Statist. Soc. Ser. B 59, 3-54.
6. Bura, E. and Cook, R. D. (2001). Estimating the structural dimension of regressions via parametric inverse regression. J. Roy. Statist. Soc. Ser. B 63, 393-410.
7. Cook, R. D. and Setodji, C. M. (2003). A model-free test for reduced rank in multivariate regression. J. Amer. Statist. Assoc. 98, 340-351.
8. Gudmundsson, G. (1977). Multivariate analysis of economic variables. Appl. Statist. 26, 48-59.
9. Izenman, A. J. (1975). Reduced-rank regression for the multivariate linear model. J. Multivariate Anal. 5, 248-264.
10. Klein, L. R., Ball, R. J., Hazlewood, A. and Vandome, P. (1961). An Econometric Model of the United Kingdom. Blackwell, Oxford.
11. Reinsel, G. C. (1999). On multivariate linear regression shrinkage and reduced-rank procedures. J. Statist. Plann. Inference 81, 311-321.
12. Reinsel, G. C. and Velu, R. P. (1998). Multivariate Reduced-Rank Regression, Theory and Applications. Springer-Verlag, New York.
13. Skager, B., MacGregor, J. and Kiparissides, C. (1992). Multivariate data analysis applied to lowdensity polyethylene reactors. Chemometr. Intell. Lab. Syst. 14, 341-356.
14. Velu, R. P. (1991). Reduced rank models with two sets of regressors. Appl. Statist. 40, 159-170.