Reduced Rank Models with Two Sets of Regressors
本文扩展了Anderson提出的降秩回归模型，讨论了估计量的渐近理论和迭代计算方法，并用欧洲臭氧数据演示了方法。
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.