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Selecting Optimal Rank in Reduced Rank Regression by AIC |
Saad Abed Madhi and Samira Faisal Abushilah
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Abstract:
This paper presents a method for determining the actual rank of the coefficients matrix in the reduced rank multivariate regression model. The method is constructed using the singular value decomposition and the Akaike's Information Criterion (AIC). Some illustrative examples are given to verify this method.
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