On multivariate linear regression shrinkage and reduced-rank procedures

Abstract

Abstract An alternate derivation of the canonical analysis shrinkage prediction procedure of Breiman and Friedman (1997. J. Roy. Statist. Soc. B 59, 3–54) is presented for the multivariate linear model. It is based on consideration of prediction mean square error matrix, and bias of the squared sample canonical correlations. A modified procedure involving partial canonical correlation analysis is also introduced and discussed.