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Bayesian assessment of dimensionality in reduced rank regression

✍ Scribed by Jukka Corander; Mattias Villani

Book ID
111014233
Publisher
John Wiley and Sons
Year
2004
Tongue
English
Weight
179 KB
Volume
58
Category
Article
ISSN
0039-0402

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## Abstract In previous work by Stoica and Viberg the reduced‐rank regression problem is solved in a maximum likelihood sense. The present paper proposes an alternative numerical procedure. The solution is written in terms of the principal angles between subspaces spanned by the data matrices. It i