Author： Liu Y.
Publisher： Taylor & Francis Ltd
ISSN： 0020-7160
Source： International Journal of Computer Mathematics, Vol.86, Iss.4, 2009-04, pp. : 684-692
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Abstract
By applying the canonical correlation decomposition of matrix pairs, the general fixed rank least square solutions of matrix equation Xβ=Y are derived. As statistical applications, an algorithm for computing the least square estimator of the multivariate reduced rank regression model Y=Xβ+ε, r(β)=t is given.
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