A theoretical view of the envelope model for multivariate linear regression as response dimension reduction

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Abstract

The envelope model recently developed for the classical multivariate linear regression have potential gain in efficiency in estimating unknown parameters over usual maximum likelihood estimation. In this paper, we theoretically investigate the envelope model as dimension reduction for response variables and connect them to existing methods.

Original languageEnglish
Pages (from-to)143-148
Number of pages6
JournalJournal of the Korean Statistical Society
Volume42
Issue number2
DOIs
StatePublished - Jun 2013

Bibliographical note

Funding Information:
This work was supported by Basic Science Research Program through the National Research Foundation of Korea (KRF) funded by the Ministry of Education, Science and Technology (2011-0005581).

Keywords

  • Envelope model
  • Multivariate linear regression
  • Reducing subspaces
  • Response dimension reduction

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