Fixed rank solutions of the matrix equation with statistical applications
Yazhou Liu · International Journal of Computer Mathematics · 2008
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.