降秩回归模型的贝叶斯稳健估计
Bayesian Robust Estimation for Reduced-Rank Regression Model
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摘要: 降秩模型近年来在研究多维响应回归模型时受到大量关注.秩的选择一直是降秩模型研究中关心的问题,已有的文献一般都是基于某种信息准则或惩罚核范数方法获得低秩系数估计.然而,当数据中含有异常值时或模型复杂时,秩选择的准确率不高.为容纳数据的不确定性和实现模型的自适应性,本文借鉴模型平均思想,提出了贝叶斯混合低秩模型并通过引入漂移系数,通过结合贝叶斯层次模型和EM算法给出了参数的最大后验估计方法.大量数值模拟并与已有方法进行比较,说明新方法的有效性和稳健性,并在西雅图交通事故数据集上的应用进一步验证了新方法的有用性.Abstract: In recent years, reduced-rank models have attracted considerable attention in multivariate response regression models. Rank selection is of importance in the research on reduced-rank models. However, existing literature generally achieves low-rank coefficient estimation based on some information criteria or penalized nuclear norm methods on coefficient matrix. However, when data contain outliers or the model is complex, the accuracy of rank selection tends to be low. To account for data uncertainty and enhance model adaptability, this paper introduces a Bayesian robust estimation method for mixed low-rank models by incorporating a drift coefficient inspired by the model averaging idea, and provides a maximum posteriori (MAP) estimation for the parameters by combining the Bayesian hierarchical model and the EM algorithm. Extensive numerical simulations and comparisons with existing methods demonstrate the effectiveness and robustness of the proposed method, which is further validated through an application on the Seattle traffc accident dataset.
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