A model-free test for reduced rank in multivariate regression

• 成果类型: Article
• 署名作者: Cook, RD; Setodji, CM
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities; RAND Corporation
• 刊物名称: JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
• ISSN/ISSBN: 0162-1459
• DOI: 10.1198/016214503000134
• 发表日期: 2003
• 页码: 340-351
• 关键词: dimension reduction; squares

摘要

We propose a test of dimension in multivariate regression. This test is in the spirit of tests on the rank of the coefficient matrix in a multivariate linear model, but it does not require a prespecified model. The test may be particularly useful at the outset of an analysis before a multivariate model is posited, because it can lead to low-dimensional summary plots that are inferred to contain all of the sample information on the multivariate mean function.