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fix eqref
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szcf-weiya committed May 7, 2021
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!!! info "weiya 注:Ex. 3.20"
已解决,详见 [Issue 172: Ex. 3.20](https://github.com/szcf-weiya/ESL-CN/issues/172),欢迎讨论交流!

**降秩回归 (reduced-rank regression)** (Izenman, 1975[^1]; van der Merwe and Zidek, 1980[^2]) 采用显式地合并信息的回归模型来形式化这个方法.给定误差协方差 $\Cov(\varepsilon)=\bSigma$,求解下列带约束的多元回归问题:
**降秩回归 (reduced-rank regression)** (Izenman, 1975[^1]; van der Merwe and Zidek, 1980[^2]) 采用显式地合并信息的回归模型来 *正式化 (formalize)* 这个方法.给定误差协方差 $\Cov(\varepsilon)=\bSigma$,求解下列带约束的多元回归问题:

$$
\hat\B^{rr}(m) = \underset{\rank(\B)=m}{\argmin}\sum_{i=1}^N(y_i-\B^Tx_i)^T\bSigma^{-1}(y_i-\B^Tx_i)\,.\tag{3.68}\label{3.68}
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!!! info "weiya 注:Ex. 3.22"
已解决,详见 [Issue 175: Ex. 3.22](https://github.com/szcf-weiya/ESL-CN/issues/175),欢迎交流讨论!

降秩回归通过截断 CCA 从响应变量中借来了优点.Breiman and Friedman (1997)[^3] 探索了 $\X$ 和 $\Y$ 间典则变量的逐步收缩,这是光滑版本的降秩回归.他们的方法有如下形式(与 $\eqref{3.69}$ 对应)
降秩回归通过截断 CCA 从响应变量中借来了优势变量.Breiman and Friedman (1997)[^3] 探索了 $\X$ 和 $\Y$ 间典则变量的逐步收缩,这是光滑版本的降秩回归.他们的方法有如下形式(与 \eqref{3.69} 对应)

$$
\hat\B^{c+w} = \hat\B\U\bLambda\U^{-1}\,,\tag{3.72}
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\hat\Y^{\mathrm{ridge},c+w}=\A_\lambda\Y\S^{c+w}\,,\tag{3.75}
$$

其中 $\A_\lambda = \X(\X^T\X+\lambda\I)^{-1}\X^T$ 是岭回归收缩算子,和 (3.46) 一样.他们的文章及其讨论有更多细节.
其中 $\A_\lambda = \X(\X^T\X+\lambda\I)^{-1}\X^T$ 是岭回归收缩算子,和 \eqref{3.46} 一样.他们的文章及其讨论有更多细节.

!!! note "Recall"
$$
\begin{align}
\mathbf{X}\hat{\beta}^{ls}&=\mathbf{X(X^TX)^{-1}X^Ty}\notag\\
&=\mathbf{UU^Ty}\tag{3.46}\label{3.46}
\end{align}
$$

[^1]: Izenman, A. (1975). Reduced-rank regression for the multivariate linear model, Journal of Multivariate Analysis 5: 248–264.
[^2]: van der Merwe, A. and Zidek, J. (1980). Multivariate regression analysis and canonical variates, The Canadian Journal of Statistics 8: 27–39.
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