CHEN Chun, ZHAO Lincheng. Detection of the Rank of Regression Coefficient Matrix by M-Method[J]. Chinese Journal of Applied Probability and Statistics, 2002, 18(1): 43-50.
Citation:
CHEN Chun, ZHAO Lincheng. Detection of the Rank of Regression Coefficient Matrix by M-Method[J]. Chinese Journal of Applied Probability and Statistics, 2002, 18(1): 43-50.
CHEN Chun, ZHAO Lincheng. Detection of the Rank of Regression Coefficient Matrix by M-Method[J]. Chinese Journal of Applied Probability and Statistics, 2002, 18(1): 43-50.
Citation:
CHEN Chun, ZHAO Lincheng. Detection of the Rank of Regression Coefficient Matrix by M-Method[J]. Chinese Journal of Applied Probability and Statistics, 2002, 18(1): 43-50.
Detection of the Rank of Regression Coefficient Matrix by M-Method
To determine the rank of regression coefficient matrix in a multivariate linear regression model, a model selection procedure is proposed based on the M-estimation. It is derived that the estimator of the rank of regression coefficient matrix under some mild conditions is strongly consistent.
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