rrpack: rrr.fit – R documentation

Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!

rrr.fit

Fitting reduced-rank regression with a specific rank

Description

Given a response matrix and a covariate matrix, this function fits reduced rank regression for a specified rank. It reduces to singular value decomposition if the covariate matrix is the identity matrix.

Usage

rrr.fit(Y, X, nrank = 1, weight = NULL, coefSVD = FALSE)

Arguments

`Y`	a matrix of response (n by q)
`X`	a matrix of covariate (n by p)
`nrank`	an integer specifying the desired rank
`weight`	a square matrix of weight (q by q); The default is the identity matrix
`coefSVD`	logical indicating the need for SVD for the coeffient matrix in the output; used in ssvd estimation

Value

S3 rrr object, a list consisting of

`coef`	coefficient of rrr
`coef.ls`	coefficient of least square
`fitted`	fitted value of rrr
`fitted.ls`	fitted value of least square
`A`	right singular matrix
`Ad`	a vector of sigular values
`rank`	rank of the fitted rrr

Examples

Y <- matrix(rnorm(400), 100, 4)
X <- matrix(rnorm(800), 100, 8)
rfit <- rrr.fit(Y, X, nrank = 2)
coef(rfit)

rrpack

Reduced-Rank Regression

v0.1-11

GPL (>= 3)

Authors

Kun Chen [aut, cre] (<https://orcid.org/0000-0003-3579-5467>), Wenjie Wang [ctb] (<https://orcid.org/0000-0003-0363-3180>), Jun Yan [ctb] (<https://orcid.org/0000-0003-4401-7296>)

Initial release

2019-11-09