Generalized Reduced-Rank Regression with Homogeneity Pursuit

Abstract: Homogeneity, low rank, and sparsity are three widely adopted assumptions in multi-response regression models to address the curse of dimensionality and improve estimation accuracy. However, there is limited literature that examines these assumptions within a unified framework. In this paper, we investigate the homogeneity, low rank, and sparsity assumptions under the generalized linear model with high-dimensional responses and covariates, encompassing a wide range of practical applications. Our work establishes a comprehensive benchmark for comparing the effects of these three assumptions and introduces a regularized maximum likelihood estimation method to fit the corresponding models. Under mild conditions,we prove the statistical consistency of our estimator. Theoretical results provide insights into the role of homogeneity and offer a quantitative analysis of scenarios where homogeneity improves estimation accuracy. The proposed method's effectiveness is demonstrated through numerical simulations and an empirical analysis of tree species data from Barro Colorado Island.