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Multivariate Regression Shrinkage and Selection by Canonical Correlation Analysis
Adaptive Lasso Canonical Correlation Analysis Multivariate Regression Selection Consistency
2016/1/20
The problem of regression shrinkage and selection for multivariate regression is considered. The goal is to consistently identify those variables relevant for regression. This is done not only for pre...
We consider in this paper the multivariate regression problem, when the target regression matrix A is close to a low rank matrix. Our primary interest in on the practical case where the variance of th...