Estimates of Regression Coefficients Based on Lift Rank Covariance Matrix
基于提升秩协方差矩阵的回归系数估计
We introduce a new equivariant estimation method of the parameters of the multivariate regression model with q responses and p regressors. The estimate matrix is derived from the lift rank covariance matrix (LRCM) where the lift rank vectors are based on the Oja criterion function. The k = p + q variate ranks and k + 1 variate lift ranks are constructed using hyperplanes (or fits) going through k observations. The new LRCM regression estimate and the least squares (LS)…