Multivariate Regression with Calibration.
We propose a new method named calibrated multivariate regression (CMR) for fitting high dimensional multivariate regression models. Compared to existing methods, CMR calibrates the regularization for each regression task with respect to its noise level so that it is simultaneously tuning insensitive...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
2021-10-27T20:05:40Z.
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| Subjects: | |
| Online Access: | Get fulltext |