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).
Bibliographical noteFunding Information:
The authors thank Hongtu Zhu for providing the Alzheimer data and Nadia L. Kudraszow for providing the glass data. The authors also thank the Editor and two Associate Editors for an incredibly fast review, faster than we have ever experienced before. Research for this article was supported in part by grant DMS-1407460 from the National Science Foundation .
- Grassmann manifold
- Reducing subspaces