A Note on Fast Envelope Estimation


Authors:
Cook, R. D., Forzani, L. and Su, Z.

Journal:
Journal of Multivariate Analysis, Vol 150, 42-54.

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 than the best existing algorithm proposed by Cook and Zhang (2015).

Software:

R package.
Download:
The .pdf file of the article is available for download.