Unstructured principal fitted response reduction in multivariate regression

Abstract

In this paper, an unstructured principal fitted response reduction approach is proposed. The new approach is mainly different from two existing model-based approaches, because a required condition is assumed in a covariance matrix of the responses instead of that of a random error. Also, it is invariant under one of popular ways of standardizing responses with its sample covariance equal to the identity matrix. According to numerical studies, the proposed approach yields more robust estimation than the two existing methods, in the sense that its asymptotic performances are not severely sensitive to various situations. So, it can be recommended that the proposed method should be used as a default model-based method. (C) 2019 The Korean Statistical Society. Published by Elsevier B.V. All rights reserved.