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Yunjin Choi, Jonathan Taylor, Robert Tibshirani, SELECTING THE NUMBER OF PRINCIPAL COMPONENTS: ESTIMATION OF THE TRUE RANK OF A NOISY MATRIX, The Annals of Statistics, Vol. 45, No. 6 (December 2017), ...
We consider the multivariate response regression problem with a regression coefficient matrix of low, unknown rank. In this setting, we analyze a new criterion for selecting the optimal reduced rank.
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