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Multivariate reduced-rank regression is a way of constraining the multivariate linear regression model so that the rank of the regression coefficient matrix has less than full rank. Without the constraint, multivariate linear regression has no true multivariate content.

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Multivariate Reduced-Rank Regression

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  • 发表日期：

    2025年

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  • Alan J. Izenman

摘要

Multivariate reduced-rank regression is a way of constraining the multivariate linear regression model so that the rank of the regression coefficient matrix has less than full rank. Without the constraint, multivariate linear regression has no true multivariate content.