d.select {Renvlp}

Select the rank of beta

Description

This function outputs the rank selected by a chi-squared test developed by Bura and Cook (2003) with specified significance level for the beta.

Usage

d.select(X, Y, alpha = 0.01)

Arguments

X

Predictors. An n by p matrix, p is the number of predictors. The predictors can be univariate or multivariate, discrete or continuous.

Y

Multivariate responses. An n by r matrix, r is the number of responses and n is number of observations. The responses must be continuous variables.

alpha

Significance level for testing. The default is 0.01.

Details

This function estimate the rank of beta using a chi-squared test. The test statistic and degrees of freedom are described in Bura and Cook (2003).

Value

rank.beta

Rank of beta guided by the Bura-Cook estimator.

References

Bura, E. and Cook, R. D. (2003). Rank estimation in reduced-rank regression. Journal of Multivariate Analysis, 87, 159 - 176.