Response best-subset selector for multivariate regression with high-dimensional response variables
高维响应多元回归的响应变量最优子集选择
Summary This article investigates the statistical problem of response-variable selection with high-dimensional response variables and a diverging number of predictor variables with respect to the sample size in the framework of multivariate linear regression. A response best-subset selection model is proposed by introducing a 0-1 selection indicator for each response variable, and then a response best-subset selector is developed by introducing a separation parameter and a…