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The proposed method can be considered as a general method for multivariate regression, which is particularly helpful for psychiatric diseases. We derive penalized retrospective likelihood estimators to deal with the typical small sample size issue. Simulation results demonstrate the advantages of the proposed method and the real data analysis of Alzheimer's disease illustrates the practical utility of the techniques. Data used in preparation of this article were obtained from the Alzheimer's Disease Neuroimaging Initiative database. ©