Sparse envelope model: efficient estimation and response variable selection in multivariate linear regression
稀疏包络模型:多元线性回归的高效估计与响应变量选择
The envelope model allows efficient estimation in multivariate linear regression. In this paper, we propose the sparse envelope model, which is motivated by applications where some response variables are invariant with respect to changes of the predictors and have zero regression coefficients. The envelope estimator is consistent but not sparse, and in many situations it is important to identify the response variables for which the regression coefficients are zero. The…