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Sparse Multivariate Regression With Covariance Estimation
We propose a procedure for constructing a sparse estimator of a multivariate regression coefficient matrix that accounts for correlation of the response variables. This method, which we call multivariate regression with covariance estimation (MRCE), involves penalized likelihood with simultaneous es...
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| Hoofdauteurs: | , , |
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| Formaat: | Artigo |
| Taal: | Inglês |
| Gepubliceerd in: |
2010
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| Onderwerpen: | |
| Online toegang: | https://ncbi.nlm.nih.gov/pmc/articles/PMC4065863/ https://ncbi.nlm.nih.gov/pubmed/24963268 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1198/jcgs.2010.09188 |
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