Efficient estimation of conditional covariance matrices for dimension reduction

DOI10.1080/03610926.2015.1083109MaRDI QIDQ4975151zbMATH OpenOpenAlexFDO

Authors Sébastien Da Veiga, Maikol Solís, Jean-Michel Loubes

Publication date 3 August 2017

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1110.3238

zbMATH Keywords

semiparametric estimationefficient estimationTaylor expansionconditional covariance matrix: inverse sliced regression

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12)

Abstract: Let $$ and $YinmathbbR$. In this paper we propose an estimator of the conditional covariance matrix, $$, in an inverse regression setting. Based on the estimation of a quadratic functional, this methodology provides an efficient estimator from a semi parametric point of view. We consider a functional Taylor expansion of $$ under some mild conditions and the effect of using an estimate of the unknown joint distribution. The asymptotic properties of this estimator are also provided.

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Cites work

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Cited in

(6)

• An RKHS formulation of the inverse regression dimension-reduction problem
• K-medoids inverse regression
• A new estimator for efficient dimension reduction in regression
• The perfect marriage and much more: combining dimension reduction, distance measures and covariance
• Rates of convergence in conditional covariance matrix with nonparametric entries estimation
• The conditionality principle in high-dimensional regression

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