Contour regression: a general approach to dimension reduction
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Publication:2583413
DOI10.1214/009053605000000192zbMATH Open1078.62033arXivmath/0508277OpenAlexW3099354022MaRDI QIDQ2583413FDOQ2583413
Authors: Bing Li, Hongyuan Zha, Francesca Chiaromonte 
Publication date: 16 January 2006
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: We propose a novel approach to sufficient dimension reduction in regression, based on estimating contour directions of small variation in the response. These directions span the orthogonal complement of the minimal space relevant for the regression and can be extracted according to two measures of variation in the response, leading to simple and general contour regression (SCR and GCR) methodology. In comparison with existing sufficient dimension reduction techniques, this contour-based methodology guarantees exhaustive estimation of the central subspace under ellipticity of the predictor distribution and mild additional assumptions, while maintaining sqrtn-consistency and computational ease. Moreover, it proves robust to departures from ellipticity. We establish population properties for both SCR and GCR, and asymptotic properties for SCR. Simulations to compare performance with that of standard techniques such as ordinary least squares, sliced inverse regression, principal Hessian directions and sliced average variance estimation confirm the advantages anticipated by the theoretical analyses. We demonstrate the use of contour-based methods on a data set concerning soil evaporation.
Full work available at URL: https://arxiv.org/abs/math/0508277
Recommendations
Nonparametric regression and quantile regression (62G08) Nonparametric robustness (62G35) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12)
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