Sufficient dimension reduction based on an ensemble of minimum average variance estimators
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Publication:450007
DOI10.1214/11-AOS950zbMATH Open1246.62141arXiv1203.3313OpenAlexW3102028468MaRDI QIDQ450007FDOQ450007
Authors: Xiangrong Yin, Bing Li 
Publication date: 3 September 2012
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: We introduce a class of dimension reduction estimators based on an ensemble of the minimum average variance estimates of functions that characterize the central subspace, such as the characteristic functions, the Box--Cox transformations and wavelet basis. The ensemble estimators exhaustively estimate the central subspace without imposing restrictive conditions on the predictors, and have the same convergence rate as the minimum average variance estimates. They are flexible and easy to implement, and allow repeated use of the available sample, which enhances accuracy. They are applicable to both univariate and multivariate responses in a unified form. We establish the consistency and convergence rate of these estimators, and the consistency of a cross validation criterion for order determination. We compare the ensemble estimators with other estimators in a wide variety of models, and establish their competent performance.
Full work available at URL: https://arxiv.org/abs/1203.3313
Recommendations
waveletscentral subspacecharacteristic functionscentral mean subspacecharacterizing familygradient estimationprojective resampling
Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Estimation in multivariate analysis (62H12)
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