rrr.fit {secure}

Fit reduced rank regression

Description

fit multivariate reduced rank regression for a specified rank.

Usage

rrr.fit(Y, X, nrank = nrank)

Arguments

Y

a matrix of response (n by q)

X

a matrix of covariate (n by p)

nrank

an integer specifying the desired rank

Value

coef

reduced rank estimate

Examples

#require(secure)
Y <- matrix(rnorm(400), 100, 4)
X <- matrix(rnorm(800), 100, 8)
rrr.fit <- rrr.fit(Y, X, nrank = 3)