‘On the degrees of freedom of reduced-rank estimators in multivariate regression’
《多元回归中降秩估计量的自由度》证明缺陷说明
Biometrika (2015), 102, pp. 457–77 The argument given in the paper that Stein’s formula can be applied to the reduced-rank regression estimator is unfortunately incomplete. A full proof may be found in Hansen (2017). We thank Niels Richard Hansen for pointing out a deficiency in the proof in the paper.