Tomohiro Ando, Ker-chau Li, A WEIGHT-RELAXED MODEL AVERAGING APPROACH FOR HIGH-DIMENSIONAL GENERALIZED LINEAR MODELS, The Annals of Statistics, Vol. 45, No. 6 (December 2017), pp. 2654-2679 ...

We propose a general framework for non-normal multivariate data analysis called multivariate covariance generalized linear models, designed to handle multivariate response variables, along with a wide ...