Dimension reduction for nonelliptically distributed predictors

DOI10.1214/08-AOS598MaRDI QIDQ1018641zbMATH OpenOpenAlexFDO

Authors Bing Li, Yuexiao Dong

Publication date 20 May 2009

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

Full work available at URL https://arxiv.org/abs/0904.3842

zbMATH Keywords

sliced inverse regressioninverse regressioncanonical correlationskernel inverse regressioncentral solution spacesparametric inverse regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Asymptotic distribution theory in statistics (62E20) Nonparametric statistical resampling methods (62G09) Estimation in multivariate analysis (62H12)

Abstract: Sufficient dimension reduction methods often require stringent conditions on the joint distribution of the predictor, or, when such conditions are not satisfied, rely on marginal transformation or reweighting to fulfill them approximately. For example, a typical dimension reduction method would require the predictor to have elliptical or even multivariate normal distribution. In this paper, we reformulate the commonly used dimension reduction methods, via the notion of "central solution space," so as to circumvent the requirements of such strong assumptions, while at the same time preserve the desirable properties of the classical methods, such as $sqrtn$-consistency and asymptotic normality. Imposing elliptical distributions or even stronger assumptions on predictors is often considered as the necessary tradeoff for overcoming the "curse of dimensionality," but the development of this paper shows that this need not be the case. The new methods will be compared with existing methods by simulation and applied to a data set.

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