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Computation of the maximum rank correlation estimator

✍ Scribed by Jason Abrevaya


Book ID
117333416
Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
159 KB
Volume
62
Category
Article
ISSN
0165-1765

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The maximum likelihood estimate in reduc
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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