Sparse Multivariate Regression With Covariance Estimation
نویسندگان
چکیده
منابع مشابه
Sparse Multivariate Regression With Covariance Estimation.
We propose a procedure for constructing a sparse estimator of a multivariate regression coefficient matrix that accounts for correlation of the response variables. This method, which we call multivariate regression with covariance estimation (MRCE), involves penalized likelihood with simultaneous estimation of the regression coefficients and the covariance structure. An efficient optimization a...
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ژورنال
عنوان ژورنال: Journal of Computational and Graphical Statistics
سال: 2010
ISSN: 1061-8600,1537-2715
DOI: 10.1198/jcgs.2010.09188