Dimensionality reduction approach to multivariate prediction

@article{Abraham2005DimensionalityRA,
  title={Dimensionality reduction approach to multivariate prediction},
  author={Bovas Abraham and Giovanni Merola},
  journal={Computational Statistics & Data Analysis},
  year={2005},
  volume={48},
  pages={5-16}
}
The authors consider dimensionality reduction methods used for prediction, such as reduced rank regression, principal component regression and partial least squares. They show how it is possible to obtain intermediate solutions by estimating simultaneously the latent variables for the predictors and for the responses. They obtain a continuum of solutions that goes from reduced rank regression to principal component regression via maximum likelihood and least squares estimation. Different… CONTINUE READING
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