Interaction Pursuit Biconvex Optimization

24 Mar 2020 Yang Yuehan Xia Siwei Yang Hu

Multivariate regression models are widely used in various fields such as biology and finance. In this paper, we focus on two key challenges: (a) When should we favor a multivariate model over a series of univariate models; (b) If the numbers of responses and predictors are allowed to greatly exceed the sample size, how to reduce the computational cost and provide precise estimation... (read more)

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