Fisher lecture: Dimension reduction in regression

DOI10.1214/088342306000000682zbMATH Open1246.62148arXiv0708.3774OpenAlexW1999663487MaRDI QIDQ449741FDOQ449741

R. Dennis Cook

Publication date: 1 September 2012

Published in: Statistical Science (Search for Journal in Brave)

Abstract: Beginning with a discussion of R. A. Fisher's early written remarks that relate to dimension reduction, this article revisits principal components as a reductive method in regression, develops several model-based extensions and ends with descriptions of general approaches to model-based and model-free dimension reduction in regression. It is argued that the role for principal components and related methodology may be broader than previously seen and that the common practice of conditioning on observed values of the predictors may unnecessarily limit the choice of regression methodology.

Full work available at URL: https://arxiv.org/abs/0708.3774

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zbMATH Keywords

principal componentssliced inverse regressioncentral subspacesufficient dimension reductionprincipal fitted componentsminimum average variance estimationGrassmann manifoldsinverse regression

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Linear inference, regression (62J99)

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