Model-free envelope dimension selection
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Publication:1657950
DOI10.1214/18-EJS1449zbMATH Open1410.62086arXiv1709.03945OpenAlexW2963686067WikidataQ129559339 ScholiaQ129559339MaRDI QIDQ1657950FDOQ1657950
Publication date: 14 August 2018
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Abstract: An envelope is a targeted dimension reduction subspace for simultaneously achieving dimension reduction and improving parameter estimation efficiency. While many envelope methods have been proposed in recent years, all envelope methods hinge on the knowledge of a key hyperparameter, the structural dimension of the envelope. How to estimate the envelope dimension consistently is of substantial interest from both theoretical and practical aspects. Moreover, very recent advances in the literature have generalized envelope as a model-free method, which makes selecting the envelope dimension even more challenging. Likelihood-based approaches such as information criteria and likelihood-ratio tests either cannot be directly applied or have no theoretical justification. To address this critical issue of dimension selection, we propose two unified approaches -- called FG and 1D selections -- for determining the envelope dimension that can be applied to any envelope models and methods. The two model-free selection approaches are based on the two different envelope optimization procedures: the full Grassmannian (FG) optimization and the 1D algorithm (Cook and Zhang, 2016), and are shown to be capable of correctly identifying the structural dimension with a probability tending to 1 under mild moment conditions as the sample size increases. While the FG selection unifies and generalizes the BIC and modified BIC approaches that existing in the literature, and hence provides the theoretical justification of them under weak moment condition and model-free context, the 1D selection is computationally more stable and efficient in finite sample. Extensive simulations and a real data analysis demonstrate the superb performance of our proposals.
Full work available at URL: https://arxiv.org/abs/1709.03945
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Cited In (13)
- Model-based clustering with envelopes
- Parsimonious Tensor Discriminant Analysis
- A note on hypothesis testing in the envelope model
- Frequentist model averaging for envelope models
- Envelope methods
- Efficient Integration of Sufficient Dimension Reduction and Prediction in Discriminant Analysis
- Tensor envelope mixture model for simultaneous clustering and multiway dimension reduction
- Envelopes and principal component regression
- A Review of Envelope Models
- New parsimonious multivariate spatial model: spatial envelope
- Combining envelope methodology and aster models for variance reduction in life history analyses
- General model-free weighted envelope estimation
- Enveloped Huber Regression
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