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arXiv · 1403.4138

Algorithms for envelope estimation

R. Dennis Cook·Xin Zhang
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Abstract

Envelopes were recently proposed as methods for reducing estimative variation in multivariate linear regression. Estimation of an envelope usually involves optimization over Grassmann manifolds. We propose a fast and widely applicable one-dimensional (1D) algorithm for estimating an envelope in general. We reveal an important structural property of envelopes that facilitates our algorithm, and we prove both Fisher consistency and root-n-consistency of the algorithm.

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R. Dennis Cook, Xin Zhang. 2014-03-17. Algorithms for envelope estimation. https://arxiv.org/abs/1403.4138

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