Description
Multivariate regression methodologies including
classical reduced-rank regression (RRR)
studied by Anderson (1951) and
Reinsel and Velu (1998) ,
reduced-rank regression via adaptive nuclear norm penalization
proposed by Chen et al. (2013) and
Mukherjee et al. (2015) ,
robust reduced-rank regression (R4) proposed by
She and Chen (2017) ,
generalized/mixed-response reduced-rank regression (mRRR) proposed by
Luo et al. (2018) ,
row-sparse reduced-rank regression (SRRR) proposed by
Chen and Huang (2012) ,
reduced-rank regression with a sparse singular value decomposition (RSSVD)
proposed by Chen et al. (2012)
and sparse and orthogonal factor regression (SOFAR) proposed by
Uematsu et al. (2019) .