R package for reduced-rank regression.
devtools::install_github("chrisaddy/rrr")The rrr package provides four categories of reduced-rank regression functions: * reduced-rank regression * principal component analysis * canonical variate analysis * multiclass linear discriminant analysis
The framework of this package was based on Alan Izenman’s book Modern Multivariate Statistical Techniques: Regression, Classification, and Manifold Learning and the Fall 2016 course – taught by him and based on the text – at Temple University.
Special thanks to Dr. Izenman – his insights were invaluable in keeping the focus of this package on reduced-rank regression.
The package author would also like to acknowledge the work of Charles Miller who authored the original reduced-rank regression code for the text.