Algorithms for envelope estimation
arXiv:1403.4138
Abstract
Envelopes were recently proposed as methods for reducing estimative variation in multivariate linear regression. Estimation of an envelope usually involves optimization over Grassmann manifolds. We propose a fast and widely applicable one-dimensional (1D) algorithm for estimating an envelope in general. We reveal an important structural property of envelopes that facilitates our algorithm, and we prove both Fisher consistency and root-n-consistency of the algorithm.
30 pages, 2 figures, 2 tables