Asymptotics for sliced average variance estimation

DOI10.1214/009053606000001091MaRDI QIDQ997370zbMATH OpenOpenAlexFDO

Authors Xing-Xing Li, Li-Xing Zhu

Publication date 23 July 2007

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0708.0462

zbMATH Keywords

dimension reductionconvergence ratesliced average variance estimation

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Multivariate analysis (62H99) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12)

Abstract: In this paper, we systematically study the consistency of sliced average variance estimation (SAVE). The findings reveal that when the response is continuous, the asymptotic behavior of SAVE is rather different from that of sliced inverse regression (SIR). SIR can achieve $sqrtn$ consistency even when each slice contains only two data points. However, SAVE cannot be $sqrtn$ consistent and it even turns out to be not consistent when each slice contains a fixed number of data points that do not depend on n, where n is the sample size. These results theoretically confirm the notion that SAVE is more sensitive to the number of slices than SIR. Taking this into account, a bias correction is recommended in order to allow SAVE to be $sqrtn$ consistent. In contrast, when the response is discrete and takes finite values, $sqrtn$ consistency can be achieved. Therefore, an approximation through discretization, which is commonly used in practice, is studied. A simulation study is carried out for the purposes of illustration.

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Cited in

(49)

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• Partial central subspace and sliced average variance estimation
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