Chen, Kun; Dong, Hongbo; Chan, Kung-Sik - In: Biometrika 100 (2013) 4, pp. 901-920
We propose an adaptive nuclear norm penalization approach for low-rank matrix approximation, and use it to develop a new reduced rank estimation method for high-dimensional multivariate regression. The adaptive nuclear norm is defined as the weighted sum of the singular values of the matrix, and...