Bayesian sparse multiple regression for simultaneous rank reduction and variable selection
同时实现降秩与变量选择的贝叶斯稀疏多响应回归
Summary We develop a Bayesian methodology aimed at simultaneously estimating low-rank and row-sparse matrices in a high-dimensional multiple-response linear regression model. We consider a carefully devised shrinkage prior on the matrix of regression coefficients which obviates the need to specify a prior on the rank, and shrinks the regression matrix towards low-rank and row-sparse structures. We provide theoretical support to the proposed methodology by proving minimax…