If we have $Y$ as response variable which has more than 1 component, and we do want to do regression, then is there such a thing as multivariate regression, and if so, how those it differ from univariate regression, in method and result?
I picked up a book on multivariate analysis, and it did not touch upon regression and ANOVA at all, instead focusing on PCA or linear discriminant analysis and stuff like that.
So, that indicates that multivariate regression = just do univariate regression on each component.
But I am not sure.
