Uncertainty Quantification in Bayesian Reduced-Rank Sparse Regressions

Reduced-rank regression recognises the possibility of a rank-deficient matrix of coefficients. We propose a novel Bayesian model for estimating the rank of the coefficient matrix, which obviates the need for post-processing steps and allows for uncertainty quantification. Our method employs a mixtur...

Ausführliche Beschreibung

Bibliographische Detailangaben

Hauptverfasser:	Pintado, Maria F, Iacopini, Matteo, Rossini, Luca, Shestopaloff, Alexander Y
Format:	Artikel
Sprache:	eng
Schlagworte:	Statistics - Applications Statistics - Methodology
Online-Zugang:	Volltext bestellen
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!