Joint rank and variable selection for parsimonious estimation in a high-dimensional finite mixture regression model

Emilie Devijver

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arXiv · 1501.00442

Joint rank and variable selection for parsimonious estimation in a high-dimensional finite mixture regression model

Emilie Devijver

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Abstract

We study a dimensionality reduction technique for finite mixtures of high-dimensional multivariate response regression models. Both the dimension of the response and the number of predictors are allowed to exceed the sample size. We consider predictor selection and rank reduction to obtain lower-dimensional approximations. A class of estimators with a fast rate of convergence is introduced. We apply this result to a specific procedure, introduced in [11], where the relevant predictors are selected by the Group-Lasso.

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Emilie Devijver. 2015-01-02. Joint rank and variable selection for parsimonious estimation in a high-dimensional finite mixture regression model. https://arxiv.org/abs/1501.00442

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