A note on fast envelope estimation

R. Dennis Cook, Liliana Forzani, Zhihua Su

Research output: Contribution to journalArticlepeer-review

26 Scopus citations

Abstract

We propose a new algorithm for envelope estimation, along with a new n-consistent method for computing starting values. The new algorithm, which does not require optimization over a Grassmannian, is shown by simulation to be much faster and typically more accurate than the best existing algorithm proposed by Cook and Zhang (2016).

Original languageEnglish (US)
Pages (from-to)42-54
Number of pages13
JournalJournal of Multivariate Analysis
Volume150
DOIs
StatePublished - 2016

Bibliographical note

Publisher Copyright:
© 2016 Elsevier Inc.

Keywords

  • Envelopes
  • Grassmann manifold
  • Reducing subspaces

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