Sequential Scaled Sparse Factor Regression
序贯尺度化稀疏因子回归
Large-scale association analysis between multivariate responses and predictors is of great practical importance, as exemplified by modern business applications including social media marketing and crisis management. Despite the rapid methodological advances, how to obtain scalable estimators with free tuning of the regularization parameters remains unclear under general noise covariance structures. In this article, we develop a new methodology called sequential scaled sparse…