On multivariate linear regression shrinkage and reduced-rank procedures

被引：4
|
作者：
Reinsel, GC [1 ]
机构：
[1] Univ Wisconsin, Dept Stat, Madison, WI 53706 USA
来源：
JOURNAL OF STATISTICAL PLANNING AND INFERENCE | 1999年 / 81卷 / 02期
关键词：
canonical correlation analysis; multivariate regression; prediction mean square error; reduced rank; shrinkage;
D O I：
10.1016/S0378-3758(99)00016-6
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
An alternate derivation of the canonical analysis shrinkage prediction procedure of Breiman and Friedman (1997. J. Roy. Statist. Sec. B 59, 3-54) is presented for the multivariate linear model. It is based on consideration of prediction mean square error matrix, and bias of the squared sample canonical correlations. A modified procedure involving partial canonical correlation analysis is also introduced and discussed. (C) 1999 Elsevier Science B.V. All rights reserved.
引用
收藏
页码：311 / 321
页数：11
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