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Reduced Rank Models with Two Sets of Regressors

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  • Raja P. Velu

Abstract

Interest has been growing in the use and extensions of multivariate reduced rank regression procedures in applied research and data modelling. This paper considers an extension of the model proposed by Anderson. Asymptotic theory and an iterative computational procedure for the relevant estimators of the extended model are briefly discussed. to illustrate these methods, ozone data collected in Europe are considered.

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  • Raja P. Velu, 1991. "Reduced Rank Models with Two Sets of Regressors," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 40(1), pages 159-170, March.
    • Handle: RePEc:bla:jorssc:v:40:y:1991:i:1:p:159-170
    DOI: 10.2307/2347914
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    Cited by:

    1. Pietro Lovaglio, 2011. "Model building and estimation strategies for implementing the Balanced Scorecard in Health sector," Quality & Quantity: International Journal of Methodology, Springer, vol. 45(1), pages 199-212, January.
    2. Wayne DeSarbo & Heungsun Hwang & Ashley Stadler Blank & Eelco Kappe, 2015. "Constrained Stochastic Extended Redundancy Analysis," Psychometrika, Springer;The Psychometric Society, vol. 80(2), pages 516-534, June.
    3. Yoshio Takane & Henk Kiers & Jan Leeuw, 1995. "Component analysis with different sets of constraints on different dimensions," Psychometrika, Springer;The Psychometric Society, vol. 60(2), pages 259-280, June.
    4. Geweke, John, 1996. "Bayesian reduced rank regression in econometrics," Journal of Econometrics, Elsevier, vol. 75(1), pages 121-146, November.
    5. Takane, Yoshio & Hwang, Heungsun, 2005. "An extended redundancy analysis and its applications to two practical examples," Computational Statistics & Data Analysis, Elsevier, vol. 49(3), pages 785-808, June.
    6. Yoshio Takane & Sunho Jung, 2008. "Regularized Partial and/or Constrained Redundancy Analysis," Psychometrika, Springer;The Psychometric Society, vol. 73(4), pages 671-690, December.

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