Efficient estimation of reduced-rank partial envelope model in multivariate linear regression

Abstract

In order to further improve the efficiency of parameter estimation and reduce the number of estimated parameters, we adopt dimension reduction ideas of partial envelope model proposed by [Su and Cook, Partial envelopes for efficient estimation in multivariate linear regression, Biometrika 98 (2011) 133–146.] to center on some predictors of special interest. Based on the research results of [Cook et al., Envelopes and reduced-rank regression, Biometrika 102 (2015) 439–456.], we combine partial envelopes with reduced-rank regression to form reduced-rank partial envelope model which can reduce dimension efficiently. This method has the potential to perform better than both. Further, we demonstrate maximum likelihood estimators for the reduced-rank partial envelope model parameters, and exhibit asymptotic distribution and theoretical properties under normality. Meanwhile, we show selections of rank and partial envelope dimension. At last, under the normal and non-normal error distributions, simulation studies are carried out to compare our proposed reduced-rank partial envelope model with the other four methods, including ordinary least squares, reduced-rank regression, partial envelope model and reduced-rank envelope model. A real data analysis is also given to support the theoretic claims. The reduced-rank partial envelope estimators have shown promising performance in extensive simulation studies and real data analysis.