Two cross-validation criteria for SIR_ and PSIR_ methods in view of prediction

DOI10.1007/BF03354618MaRDI QIDQ1887233zbMATH OpenFDO

Authors Ali Gannoun, Jérôme Saracco

Publication date 24 November 2004

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF03354618

zbMATH Keywords

bandwidth selectionmixed SIRNadaraya-Watson estimatorsingle index regressionsliced inverse regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric statistical resampling methods (62G09)

Review text

The sliced inverse regression technique SIR and its ``robustified version PSIR for fitting the single-index regression model \(y=f(x^\top\beta,\varepsilon)\) are considered. (Here \(f\) is an unknown link function to be estimated nonparametrically, \(x^\top\beta\) is the index.) The authors discuss the mixed SIR-I and SIR-II method, called SIR\({}_\alpha\) and PSIR\({}_\alpha\). Cross-validation criteria for the choice of the mixing parameter \(\alpha\) and the bandwidth in the Nadaraya-Watson estimator for \(f\) are proposed. Simulation results are presented for the model \(y=10+(x^\top\beta +C)^2+\varepsilon\), with \(x\) having standard Gaussian distribution in \(R^5\).

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• Comment
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Cited in

(5)

• On hybrid methods of inverse regression-based algorithms
• Some extensions of multivariate sliced inverse regression
• Variable importance assessment in sliced inverse regression for variable selection
• Sliced inverse regression in reference curves estimation
• Pooled marginal slicing approach via SIR\({}_\alpha\) with discrete covariates

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