A note on fast envelope estimation

R. Dennis Cook; Liliana Forzani; Zhihua Su

doi:10.1016/j.jmva.2016.05.006

A note on fast envelope estimation

R. Dennis Cook, Liliana Forzani, Zhihua Su

Statistics (Twin Cities)

Research output: Contribution to journal › Article

5 Citations (Scopus)

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 language	English (US)
Pages (from-to)	42-54
Number of pages	13
Journal	Journal of Multivariate Analysis
Volume	150
DOIs	https://doi.org/10.1016/j.jmva.2016.05.006
State	Published - Jan 1 2016

Fingerprint

Envelope

Grassmannian

Optimization

Computing

Simulation

Keywords

Envelopes
Grassmann manifold
Reducing subspaces

Cite this

Cook, R. D., Forzani, L., & Su, Z. (2016). A note on fast envelope estimation. Journal of Multivariate Analysis, 150, 42-54. https://doi.org/10.1016/j.jmva.2016.05.006

A note on fast envelope estimation. / Cook, R. Dennis; Forzani, Liliana; Su, Zhihua.

In: Journal of Multivariate Analysis, Vol. 150, 01.01.2016, p. 42-54.

Research output: Contribution to journal › Article

Cook, RD, Forzani, L & Su, Z 2016, 'A note on fast envelope estimation', Journal of Multivariate Analysis, vol. 150, pp. 42-54. https://doi.org/10.1016/j.jmva.2016.05.006

Cook RD, Forzani L, Su Z. A note on fast envelope estimation. Journal of Multivariate Analysis. 2016 Jan 1;150:42-54. https://doi.org/10.1016/j.jmva.2016.05.006

Cook, R. Dennis ; Forzani, Liliana ; Su, Zhihua. / A note on fast envelope estimation. In: Journal of Multivariate Analysis. 2016 ; Vol. 150. pp. 42-54.

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Access

10.1016/j.jmva.2016.05.006