Reduced-Rank Tensor-on-Tensor Regression and Tensor-variate Analysis of Variance
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Fitting regression models with many multivariate responses and covariates can be challenging, but such responses and covariates sometimes have tensor-variate structure. We extend the classical multivariate regression model to exploit such structure in two ways: first, we impose four types of low-rank tensor formats on the regression coefficients. Second, we model the errors using the tensor-variate normal distribution that imposes a Kronecker separable format on the covariance matrix. We obtain maximum likelihood estimators via block-relaxation algorithms and derive their asymptotic distributions. Our regression framework enables us to formulate tensor-variate analysis of variance (TANOVA) methodology. Application of our methodology in a one-way TANOVA layout enables us to identify cerebral regions significantly associated with the interaction of suicide attempters or non-attemptor ideators and positive-, negative- or death-connoting words. A separate application performs three-way TANOVA on the Labeled Faces in the Wild image database to distinguish facial characteristics related to ethnic origin, age group and gender.
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