Cluster-based regularized sliced inverse regression for forecasting macroeconomic variables
From MaRDI portal
Abstract: This article concerns the dimension reduction in regression for large data set. We introduce a new method based on the sliced inverse regression approach, called cluster-based regularized sliced inverse regression. Our method not only keeps the merit of considering both response and predictors' information, but also enhances the capability of handling highly correlated variables. It is justified under certain linearity conditions. An empirical application on a macroeconomic data set shows that our method has outperformed the dynamic factor model and other shrinkage methods.
Recommendations
- Sliced Inverse Regression with Regularizations
- Advanced topics in sliced inverse regression
- A shrinkage estimation of central subspace in sufficient dimension reduction
- On consistency and sparsity for sliced inverse regression in high dimensions
- Sliced inverse regression for multivariate response regression
Cites work
- scientific article; zbMATH DE number 6676484 (Why is no real title available?)
- A characterization of spherical distributions
- Comment
- On Directional Regression for Dimension Reduction
- On almost linearity of low dimensional projections from high dimensional data
- Partial inverse regression
- Sliced Inverse Regression for Dimension Reduction
- Sliced Inverse Regression with Regularizations
- Sliced inverse moment regression using weighted chi-squared tests for dimension reduction
- Slicing regression: A link-free regression method
This page was built for publication: Cluster-based regularized sliced inverse regression for forecasting macroeconomic variables
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q741880)
