Stochastic complexities of reduced rank regression in Bayesian estimation

Reduced rank regression extracts an essential information from examples of input-output pairs. It is understood as a three-layer neural network with linear hidden units. However, reduced rank approximation is a non-regular statistical model which has a degenerate Fisher information matrix. Its generalization error had been left unknown even in statistics. In this paper, we give the exact asymptotic form of its generalization error in Bayesian estimation, based on resolution of learning machine singularities. For this purpose, the maximum pole of the zeta function for the learning theory is calculated. We propose a new method of recursive blowing-ups which yields the complete desingularization of the reduced rank approximation. (c) 2005 Elsevier Ltd. All rights reserved.