Article ID Journal Published Year Pages File Type
415697 Computational Statistics & Data Analysis 2013 15 Pages PDF
Abstract

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 predictors but also for responses. To this end, a novel relationship between multivariate regression and canonical correlation is discovered. Subsequently, its equivalent least squares type formulation is constructed, and then the well developed adaptive LASSO type penalty and also a novel BIC-type selection criterion can be directly applied. Theoretical results show that the resulting estimator is selection consistent for not only predictors but also responses. Numerical studies are presented to corroborate our theoretical findings.

Related Topics
Physical Sciences and Engineering Computer Science Computational Theory and Mathematics
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