Algorithms for Envelope Estimation II
Methodology
2015-09-15 v1
Abstract
We propose a new algorithm for envelope estimation, along with a new root n consistent method for computing starting values. The new algorithm, which does not require optimization over a Grassmannian, is shown by simulation to be much faster and typically more accurate that the best existing algorithm proposed by Cook and Zhang (2015c).
Cite
@article{arxiv.1509.03767,
title = {Algorithms for Envelope Estimation II},
author = {Dennis Cook and Liliana Forzani and Zhihua Su},
journal= {arXiv preprint arXiv:1509.03767},
year = {2015}
}
Comments
38 pages, 2 figures, 7 tables