Minimum average variance estimation with group Lasso for the multivariate response central mean subspace
This paper proposes a weighted version of the Minimum Average Variance Estimation (MAVE) method to estimate the Central Mean Subspace with multivariate response. The algorithm to implement the weighted MAVE method is provided. Asymptotic distribution of the MAVE estimator under the multivariate response setting is also derived. In addition, for the goal of variable selection, the adaptive group lasso regularization method is incorporated to induce sparse solutions. Experimental simulations and an application to real data are presented.
- A constructive approach to the estimation of dimension reduction directions
- A Multiple-Index Model and Dimension Reduction
- A new sliced inverse regression method for multivariate response
- A nonlinear multi-dimensional variable selection method for high dimensional data: sparse MAVE
- A novel regularization method for estimation and variable selection in multi-index models
- A review on dimension reduction
- A semiparametric approach to dimension reduction
- A unified approach to sufficient dimension reduction
- An Adaptive Estimation of Dimension Reduction Space
- ASYMPTOTIC DISTRIBUTIONS FOR TWO ESTIMATORS OF THE SINGLE-INDEX MODEL
- Calibrating nonconvex penalized regression in ultra-high dimension
- Comment
- Dimension reduction for conditional mean in regression
- Dimension Reduction for Multivariate Response Data
- Efficient dimension reduction for multivariate response data
- Estimation and inference on central mean subspace for multivariate response data
- Model Selection and Estimation in Regression with Grouped Variables
- Moment-based dimension reduction for multivariate response regression
- On a projective resampling method for dimension reduction with multivariate responses
- On dimension reduction in regressions with multivariate responses
- On Directional Regression for Dimension Reduction
- On Principal Hessian Directions for Data Visualization and Dimension Reduction: Another Application of Stein's Lemma
- One-step sparse estimates in nonconcave penalized likelihood models
- Optimal computational and statistical rates of convergence for sparse nonconvex learning problems
- Penalized minimum average variance estimation
- Principal Hessian Directions Revisited
- Regularized \(M\)-estimators with nonconvexity: statistical and algorithmic theory for local optima
- Sliced Inverse Regression for Dimension Reduction
- Sliced inverse regression for multivariate response regression
- Sliced Inverse Regression with Regularizations
- Sliced Regression for Dimension Reduction
- Sparse sufficient dimension reduction
- Strong oracle optimality of folded concave penalized estimation
- Sufficient dimension reduction based on an ensemble of minimum average variance estimators
- Sufficient dimension reduction for the conditional mean with a categorical predictor in multivariate regression
- Sufficient dimension reduction in multivariate regressions with categorical predictors
- Sufficient dimension reduction via distance covariance with multivariate responses
- The Adaptive Lasso and Its Oracle Properties
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
- Estimation and inference on central mean subspace for multivariate response data
- Variable selection through adaptive MAVE
- A selective review of sufficient dimension reduction for multivariate response regression
- An adaptive estimation of MAVE
- Distance weighted directional regression for Fréchet sufficient dimension reduction
- Conditional sufficient variable selection with prior information
- Intrinsic minimum average variance estimation for dimension reduction with symmetric positive definite matrices and beyond
This page was built for publication: Minimum average variance estimation with group Lasso for the multivariate response central mean subspace
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2034465)
