A constructive approach to the estimation of dimension reduction directions

DOI10.1214/009053607000000352MaRDI QIDQ129272zbMATH OpenOpenAlexFDO

Authors Yingcun Xia

Publication date 1 December 2007

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

Full work available at URL https://arxiv.org/abs/math/0701761, https://projecteuclid.org/euclid.aos/1201012976

zbMATH Keywords

conditional density functionconvergence of algorithmdouble-kernel smoothingefficient dimension reductionroot-\(n\) consistency

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric statistical resampling methods (62G09) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Abstract: In this paper, we propose two new methods to estimate the dimension-reduction directions of the central subspace (CS) by constructing a regression model such that the directions are all captured in the regression mean. Compared with the inverse regression estimation methods (e.g. Li, 1991, 1992; Cook and Weisberg, 1991), the new methods require no strong assumptions on the design of covariates or the functional relation between regressors and the response variable, and have better performance than the inverse regression estimation methods for finite samples. Compared with the direct regression estimation methods (e.g. H"ardle and Stoker, 1989; Hristache, Juditski, Polzehl and Spokoiny, 2001; Xia, Tong, Li and Zhu, 2002), which can only estimate the directions of CS in the regression mean, the new methods can detect the directions of CS exhaustively. Consistency of the estimators and the convergence of corresponding algorithms are proved.

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