An adaptive composite quantile approach to dimension reduction
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Abstract: Sufficient dimension reduction [J. Amer. Statist. Assoc. 86 (1991) 316-342] has long been a prominent issue in multivariate nonparametric regression analysis. To uncover the central dimension reduction space, we propose in this paper an adaptive composite quantile approach. Compared to existing methods, (1) it requires minimal assumptions and is capable of revealing all dimension reduction directions; (2) it is robust against outliers and (3) it is structure-adaptive, thus more efficient. Asymptotic results are proved and numerical examples are provided, including a real data analysis.
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Cited in
(22)- Nonlinear interaction detection through partial dimension reduction with missing response data
- Transformed central quantile subspace
- Projection expectile regression for sufficient dimension reduction
- A structured covariance ensemble for sufficient dimension reduction
- Robust dimension reduction using sliced inverse median regression
- Model-free feature screening via a modified composite quantile correlation
- Quantile-slicing estimation for dimension reduction in regression
- Advance of the sufficient dimension reduction
- Penalized averaging of parametric and non-parametric quantile forecasts
- A brief review of linear sufficient dimension reduction through optimization
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- Weighted composite quantile regression for single index model with missing covariates at random
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- Quantile Martingale Difference Divergence for Dimension Reduction
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