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Optimal reduced-rank estimation and filtering

โœ Scribed by Yingbo Hua; Nikpour, M.; Stoica, P.


Book ID
118690929
Publisher
IEEE
Year
2001
Tongue
English
Weight
333 KB
Volume
49
Category
Article
ISSN
1053-587X

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Reduced rank regression assumes that the coefficient matrix in a multivariate regression model is not of full rank. The unknown rank is traditionally estimated under the assumption of normal responses. We derive an asymptotic test for the rank that only requires the response vector have finite secon