HEINEN, Andréas; RENGIFO, Erick - Center for Operations Research and Econometrics (CORE), … - 2004
We propose a new procedure to perform Reduced Rank Regression (RRR) in nonGaussian contexts, based on Multivariate Dispersion Models. Reduced-Rank Multivariate Dispersion Models (RR-MDM) generalise RRR to a very large class of distributions, which include continuous distributions like the...