A note on fast envelope estimation

We propose a new algorithm for envelope estimation, along with a new 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 than the best existing algorithm pr...

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Bibliographic Details
Published in:Journal of multivariate analysis 2016-09, Vol.150, p.42-54
Main Authors: Cook, R. Dennis, Forzani, Liliana, Su, Zhihua
Format: Article
Language:English
Subjects:
Algorithms
Envelopes
Estimating techniques
Grassmann manifold
Reducing subspaces
Simulation
Studies
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Summary:We propose a new algorithm for envelope estimation, along with a new 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 than the best existing algorithm proposed by Cook and Zhang (2016).
ISSN:0047-259X
1095-7243
DOI:10.1016/j.jmva.2016.05.006