Procedures for Reduced‐Rank Regression

P. T. Davies and M. K‐S. Tso

Journal of the Royal Statistical Society Series C, 1982, vol. 31, issue 3, 244-255

Abstract: We discuss in this paper procedures for the analysis of the reduced‐rank regression model. A new method is proposed for parameter estimation which is justified by a least‐squares analysis employing matrix singular‐value decomposition and the Eckart‐Young theorem. The application of the model is illustrated by the regression analysis of gasoline distillation measurements on composition data obtained by gas‐liquid chromatography.

Date: 1982
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jorssc:v:31:y:1982:i:3:p:244-255

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