Slicing regression: A link-free regression method (Q1175375)

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Slicing regression: A link-free regression method
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    Slicing regression: A link-free regression method (English)
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    25 June 1992
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    For a general regression model of the form \(y=g(\alpha+x'\beta,\epsilon)\) with an arbitrary and unknown link function \(g\), the authors study the slicing regression for estimating the direction of \(\beta\). They first estimate the inverse regression curve \(\epsilon(x\mid y)\) using a step function and then estimate the covariance matrix \(\Gamma=\hbox{Cov } E(x\mid y)\) using the estimated inverse regression curve. Finally, the spectral decomposition of the estimate \(\hat\Gamma\) with respect to the sample covariance matrix of \(x\) gives the principal eigenvector, which is the slicing regression estimate for the direction of \(\beta\). The basic asymptotic theory for the slicing regression is established.
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    general regression model
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    estimated inverse regression curve
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    spectral decomposition
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    sample covariance matrix
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    principal eigenvector
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    slicing regression estimate
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    link-free regression method
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    consistency
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    asymptotic normality
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    asymptotic covariance matrix
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    Wald's test
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    confidence region procedure
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    efficiency
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    bias bound
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    elliptical symmetry
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    projection pursuit
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