Nonparametric Reduced Rank Regression
Machine Learning
2013-01-10 v1
Abstract
We propose an approach to multivariate nonparametric regression that generalizes reduced rank regression for linear models. An additive model is estimated for each dimension of a -dimensional response, with a shared -dimensional predictor variable. To control the complexity of the model, we employ a functional form of the Ky-Fan or nuclear norm, resulting in a set of function estimates that have low rank. Backfitting algorithms are derived and justified using a nonparametric form of the nuclear norm subdifferential. Oracle inequalities on excess risk are derived that exhibit the scaling behavior of the procedure in the high dimensional setting. The methods are illustrated on gene expression data.
Cite
@article{arxiv.1301.1919,
title = {Nonparametric Reduced Rank Regression},
author = {Rina Foygel and Michael Horrell and Mathias Drton and John Lafferty},
journal= {arXiv preprint arXiv:1301.1919},
year = {2013}
}