On the conditional distributions of low-dimensional projections from high-dimensional data

DOI10.1214/12-AOS1081zbMATH Open1360.62371arXiv1304.5943OpenAlexW2049955185MaRDI QIDQ355082FDOQ355082

Authors: Hannes Leeb 

Publication date: 24 July 2013

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

Abstract: We study the conditional distribution of low-dimensional projections from high-dimensional data, where the conditioning is on other low-dimensional projections. To fix ideas, consider a random d-vector Z that has a Lebesgue density and that is standardized so that $mathbbEZ=0$ and $mathbbEZ{Z}^{\prime }=I_d$. Moreover, consider two projections defined by unit-vectors $alpha$ and $$, namely a response $y=alph{a}^{\prime }Z$ and an explanatory variable $$. It has long been known that the conditional mean of y given x is approximately linear in x$undersomeregularityconditions;cf.HallandLi[Ann.Statist.21(1993)867-889].However,acorrespondingresultfortheconditionalvariancehasnotbeenavailablesofar.Wehereshowthattheconditionalvarianceofygivenxisapproximatelyconstantinx(again,undersomeregularityconditions).Theseresultsholduniformlyin$alpha$andformost$�eta$'s, provided only that the dimension of Z is large. In that sense, we see that most linear submodels of a high-dimensional overall model are approximately correct. Our findings provide new insights in a variety of modeling scenarios. We discuss several examples, including sliced inverse regression, sliced average variance estimation, generalized linear models under potential link violation, and sparse linear modeling.

Full work available at URL: https://arxiv.org/abs/1304.5943

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zbMATH Keywords

dimension reductionregressionhigh-dimensional modelssmall sample size

Mathematics Subject Classification ID

Multivariate analysis (62H99) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12)

Cites Work

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Cited In (7)

• A Random Projection Approach to Hypothesis Tests in High-Dimensional Single-Index Models
• STATISTICAL INFERENCE WITH F-STATISTICS WHEN FITTING SIMPLE MODELS TO HIGH-DIMENSIONAL DATA
• Projective inference in high-dimensional problems: prediction and feature selection
• On conditional moments of high-dimensional random vectors given lower-dimensional projections
• An Inverse-regression Method of Dependent Variable Transformation for Dimension Reduction with Non-linear Confounding
• On the conditional distributions of low-dimensional projections from high-dimensional data
• On almost linearity of low dimensional projections from high dimensional data

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