Envelope Models for Parsimonious and Efficient Multivariate Linear Regression Comment
Resource
STATISTICA SINICA v.20 n.3 pp.981-987
Journal
STATISTICA SINICA
Journal Volume
v.20
Journal Issue
n.3
Pages
981-987
Date Issued
2010
Date
2010
Author(s)
HUNG, HUNG
Abstract
Cook, Li and Chiaromonte have introduced the interesting notion of an envelope model, which provides an efficient approach for high-dimensional data analysis. The envelope model looks for the "minimal sufficient response" for the regression of Y on X. Our discussion focuses mainly on a two -staged estimation approach, PLS-MLE, which is workable for n extract an intermediate response subspace. This subspace is assumed to be big enough to contain the envelope subspace, but also small enough to accommodate a stable MLE.
Type
journal article