Christian Aßmann, Jens Boysen-Hogrefe, Markus Pape
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引用次数: 0
Abstract
Orthonormality constraints are common in reduced rank models. They imply that matrix-variate parameters are given as orthonormal column vectors. However, these orthonormality restrictions do not provide identification for all parameters. For this setup, we show how the remaining identification issue can be handled in a Bayesian analysis via post-processing the sampling output according to an appropriately specified loss function. This extends the possibilities for Bayesian inference in reduced rank regression models with a part of the parameter space restricted to the Stiefel manifold. Besides inference, we also discuss model selection in terms of posterior predictive assessment. We illustrate the proposed approach with a simulation study and an empirical application.
期刊介绍:
AStA - Advances in Statistical Analysis, a journal of the German Statistical Society, is published quarterly and presents original contributions on statistical methods and applications and review articles.