A model-free test for reduced rank in multivariate regression

R. Dennis Cook, C. Messan Setodji

Research output: Contribution to journalArticle

41 Scopus citations

Abstract

We propose a test of dimension in multivariate regression. This test is in the spirit of tests on the rank of the coefficient matrix in a multivariate linear model, but it does not require a prespecified model. The test may be particularly useful at the outset of an analysis before a multivariate model is posited, because it can lead to low-dimensional summary plots that are inferred to contain all of the sample information on the multivariate mean function.

Original languageEnglish (US)
Pages (from-to)340-351
Number of pages12
JournalJournal of the American Statistical Association
Volume98
Issue number462
DOIs
StatePublished - Jun 1 2003

Keywords

  • Central subspaces
  • Dimension reduction
  • Multivariate regression
  • Regression
  • Regression graphics

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