Simultaneous selection of predictors and responses for high dimensional multivariate linear regression

作者：An, Baiguo^*; Zhang, Beibei

来源：Statistics & Probability Letters, 2017, 127: 173-177.

DOI：10.1016/j.spl.2017.04.008

• Canonical correlation
• Group lasso
• High dimensional
• Multivariate linear regression
• Variable selection

Most existing variable selection methods for multivariate linear models focus only on predictor selection. In this article, we propose a two-step (double group lasso step and sparse canonical correlation step) method to conduct variable selection for predictors and responses simultaneously.

• 出版日期2017-8
• 单位首都经济贸易大学