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Reduced rank regression via adaptive nuclear norm penalization
We propose an adaptive nuclear norm penalization approach for low-rank matrix approximation, and use it to develop a new reduced rank estimation method for high-dimensional multivariate regression. The adaptive nuclear norm is defined as the weighted sum of the singular values of the matrix, and it...
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| Hauptverfasser: | , , |
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| Format: | Artigo |
| Sprache: | Inglês |
| Veröffentlicht: |
2013
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| Schlagworte: | |
| Online Zugang: | https://ncbi.nlm.nih.gov/pmc/articles/PMC4101086/ https://ncbi.nlm.nih.gov/pubmed/25045172 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1093/biomet/ast036 |
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