We have located links that may give you full text access.
Bayesian sparse reduced rank multivariate regression.
Journal of Multivariate Analysis 2017 May
Many modern statistical problems can be cast in the framework of multivariate regression, where the main task is to make statistical inference for a possibly sparse and low-rank coefficient matrix. The low-rank structure in the coefficient matrix is of intrinsic multivariate nature, which, when combined with sparsity, can further lift dimension reduction, conduct variable selection, and facilitate model interpretation. Using a Bayesian approach, we develop a unified sparse and low-rank multivariate regression method to both estimate the coefficient matrix and obtain its credible region for making inference. The newly developed sparse and low-rank prior for the coefficient matrix enables rank reduction, predictor selection and response selection simultaneously. We utilize the marginal likelihood to determine the regularization hyperparameter, so our method maximizes its posterior probability given the data. For theoretical aspect, the posterior consistency is established to discuss an asymptotic behavior of the proposed method. The efficacy of the proposed approach is demonstrated via simulation studies and a real application on yeast cell cycle data.
Full text links
Related Resources
Get seemless 1-tap access through your institution/university
For the best experience, use the Read mobile app
All material on this website is protected by copyright, Copyright © 1994-2024 by WebMD LLC.
This website also contains material copyrighted by 3rd parties.
By using this service, you agree to our terms of use and privacy policy.
Your Privacy Choices
You can now claim free CME credits for this literature searchClaim now
Get seemless 1-tap access through your institution/university
For the best experience, use the Read mobile app