Reduced Rank Regression

Abstract

The reduced rank regression model is a multivariate regression model with a coefficient matrix with reduced rank. The reduced rank regression algorithm is an estimation procedure which estimates the reduced rank regression model. It is related to canonical correlations and involves calculating eigenvalues and eigenvectors. We give a number of different applications to regression and time series analysis, and show how the reduced rank regression estimator can be derived as a Gaussian maximum likelihood estimator. We briefly mention asymptotic results.