A note on fast envelope estimation

作者：Cook R Dennis; Forzani Liliana; Su Zhihua

来源：Journal of Multivariate Analysis, 2016, 150: 42-54.

DOI：10.1016/j.jmva.2016.05.006

• Envelopes
• Grassmann manifold
• Reducing subspaces

We propose a new algorithm for envelope estimation, along with a new root n-consistent method for computing starting values. The new algorithm, which does not require optimization over a Grassmannian, is shown by simulation to be much faster and typically more accurate than the best existing algorithm proposed by Cook and Zhang (2016).

• 出版日期2016-9