Determining optimal rank in reduced rank regression model by the likelihood ratio test

نویسندگان
Madhi, Saad Abed ID 1

1 Department of Medical Instrumentation Technologies Engineering, Hilla University College, Babylon, Iraq

doi
10.22075/ijnaa.2022.28133.3812
چکیده

This paper presents a method for determining the actual rank of the coefficients matrix in the reduced rank multivariate regression model. The method is constructed using the singular value decomposition and the Likelihood Ratio Test(LRT). Some illustrative examples are given to verify this method.

کلیدواژه‌ها
Multivariate Reduced Rank Regression, Singular Value Decomposition, More-Penrose inverse, Maximum likelihood estimation