rrr.cookD

Compute Cook's distance for model diagnostics in <code>rrr</code> estimation.

Multivariate regression methodologies including
classical reduced-rank regression (RRR)
studied by Anderson (1951) <doi:10.1214/aoms/1177729580> and
Reinsel and Velu (1998) <doi:10.1007/978-1-4757-2853-8>,
reduced-rank regression via adaptive nuclear norm penalization
proposed by Chen et al. (2013) <doi:10.1093/biomet/ast036> and
Mukherjee et al. (2015) <doi:10.1093/biomet/asx080>,
robust reduced-rank regression (R4) proposed by
She and Chen (2017) <doi:10.1093/biomet/asx032>,
generalized/mixed-response reduced-rank regression (mRRR) proposed by
Luo et al. (2018) <doi:10.1016/j.jmva.2018.04.011>,
row-sparse reduced-rank regression (SRRR) proposed by
Chen and Huang (2012) <doi:10.1080/01621459.2012.734178>,
reduced-rank regression with a sparse singular value decomposition (RSSVD)
proposed by Chen et al. (2012) <doi:10.1111/j.1467-9868.2011.01002.x>
and sparse and orthogonal factor regression (SOFAR) proposed by
Uematsu et al. (2019) <doi:10.1109/TIT.2019.2909889>.

Kun Chen

rrpack

Reduced-Rank Regression

Wenjie Wang

Jun Yan

rrr.cookD function

<dl><dt>Y</dt>
<dd>response matrix</dd>
<dt>X</dt>
<dd>covariate matrix</dd>
<dt>nrank</dt>
<dd>model rank</dd>
<dt>qr.tol</dt>
<dd>tolerance</dd></dl>

Arguments

Cook's distance in reduced-rank regression for model diagnostics — rrr.cookD

<dl>

<dt>Y</dt>
<dd>response matrix</dd>


<dt>X</dt>
<dd>covariate matrix</dd>


<dt>nrank</dt>
<dd>model rank</dd>


<dt>qr.tol</dt>
<dd>tolerance</dd>

</dl>

rrr.cookD: Cook's distance in reduced-rank regression for model diagnostics

Description

Usage

Value

Arguments

References