Algorithms for Envelope Estimation II
classification
📊 stat.ME
keywords
algorithmenvelopeestimationaccuratealgorithmsalongbestcomputing
read the original abstract
We propose a new algorithm for envelope estimation, along with a new root n consistent method for computing starting values. The new algorithm, which does not require optimization over a Grassmannian, is shown by simulation to be much faster and typically more accurate that the best existing algorithm proposed by Cook and Zhang (2015c).
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